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, titled Credit 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.

MITACS (Mathematics 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.