Research Poster on Credit Risk Modeling Recognized by MITACS
June 15, 2009
Oleksandr Romanko, a PhD candidate in computer science
in the Faculty of Engineering at McMaster, placed second
at this year’s
MITACS Annual Conference poster competition. The poster,
Risk Portfolio Optimization, addresses credit risk modeling and
the development of optimization techniques for reducing the credit and
market risk impact on financial institutions and industrial enterprises.
The research project was performed while Oleksandr was on a four-month
MITACS Accelerate Internship at Algorithmics Incorporated in
Toronto. Algorithmics is the world leader in developing software
for enterprise risk management. Oleksandr worked on developing
optimization algorithms and applying them to real-world problems in risk
management and finance.
Oleksandr credits much of his success to his supervisors: Tamás
Terlaky (Lehigh University), Antoine Deza (McMaster University) and Helmut
Mausser (Quantitative Research Group at Algorithmics). He is also
a member of McMaster’s Advanced Optimization Laboratory.
Oleksandr has won poster prizes at MITACS conferences in each of the
last three years, competing against more than 50 graduate
students from across Canada every year. He was a member of
the McMaster team that was among the winners of the Canadian Operational
Research Society student simulation competition in 2007 and 2008. He
also won first place at the International Forum-Competition of Young
Researchers in St. Petersburg, Russia in 2008 and 2009.
Oleksandr Romanko, a PhD candidate in computer
science in the Faculty of Engineering.
for Information Technology and Complex Systems) is a federally-funded Network
of Centres of Excellence. It brings together academia, industry and the
public sector through research and training initiatives to develop cutting
edge tools vital to the knowledge-based economy. MITACS
Accelerate is a national internship program that connects
Ontario industry with academia in order to help grow our knowledge economy
and create new jobs.