RESEARCH

We emphasize and encourage links between academic researchers and practitioners at financial institutions to bring theoretical techniques to bear on realworld issues.

Risk Management Best Practice

Risk Management & Market Liquidity 

This project focuses on liquidity risk management and its integration with other types of risk, including market and credit risk, from two perspective. The first perspective is that of a financial institution. Here the researchers focus on incorporating liquidity risk in derivatives pricing models, funding value adjustment in derivatives valuation and looking at the causes of illiquidity in corporate and credit default swap markets. The second perspective is that of a supervisory or regulatory body. This portion of the research focuses on evaluating the impact of high-frequency trading on market liquidity, determining how to facilitate liquidity in dark pools, improving trade execution by Canadian mutual funds and examining option listing and trading efficiency of new market securities

university

University: University of Toronto Rotman
Project Lead: Peter Christoffersen

publications and links

 

   
   

Lead Researcher

 Lead Researcher 

 

Peter Christoffersen

Peter Christoffersen is a Professor of Finance at the University of Toronto’s Rotman School of Business. He has published in leading finance and econometrics journals and is the author of Elements of Financial Risk Management. He serves as an Associate Editor of the Review of Financial Studies and the Review of Finance. Peter has won research awards from AIMA Canada and the Q-Group. He is a Fellow of the Bank of Canada, the University of Toronto’s TSX Chair in Capital markets, and serves on the Model Validation Council at the Federal Reserve Board. He is also a Research Fellow of the Wharton Financial Institutions Center at Penn, and at the Volatility Institute at NYU Stern.  Peter formerly taught at McGill University and worked as an Economist at the IMF. He holds a BA from the University of Copenhagen and a PhD in Economics from the University of Pennsylvania.