Wilfrid Laurier University and the University of Waterloo will be hosting an academic conference in Honor of "Phelim Boyle” on April 30 and May 7, 2021. Hosted in collaboration with the Fields Institute, the two-day conference features:

• April 30: Academic workshop for graduate students and an industry panel session
• May 7: Half-day seminar featuring leading scholars in the profession

Over a long and distinguished academic career Phelim Boyle has made outstanding contributions to a number of fields including finance, quantitative finance, actuarial science, corporate finance, portfolio management and risk management. This two-day event is being organized to celebrate his contributions upon his retirement from Wilfrid Laurier University. The workshop and conference speakers all have some personal connection (e.g., research collaborator or former graduate student) with Dr. Boyle and are well-known in their fields.

Workshop Description

Primarily intended for graduate students, David J. Bolder will lead the workshop on portfolio credit risk.  The workshop is suitable for students with strong backgrounds in finance, probability, and statistics. The workshop begins on the ground floor with an introduction to portfolio credit risk, basic components that require modelling, and investigation into some properties such as obligor dependence that are specific to credit risk portfolios.  The second session looks at mixture and threshold models, the main types of models used to assess portfolio credit risk. The last part of the workshop focusses on regulatory issues and discussion on practical implementations of credit risk systems.

The industry panel discussion will focus on issues of current relevance to the financial industry.

Workshop Leader

David Jamieson Bolder is currently Director of Model Development and Economic Capital at the Nordic Investment Bank. Prior to this appointment, he was in charge of the World Bank Group’s model-risk function. Other stops over the years include quantitative analytic roles at the Bank for International Settlements, the Bank of Canada, the World Bank Treasury, and the European Bank for Reconstruction and Development. He has authored numerous papers, articles, and chapters in books on risk-management, financial modelling, stochastic simulation, and optimization. Two other comprehensive books--on the topics of fixed-income portfolio analytics and credit-risk modelling--round out his list of publications. His almost 25-year career, by way of high-level summary, has focused on the practical application of mathematical techniques towards informing decision-making in the areas of sovereign-debt, pension-fund, portfolio-risk, and foreign-reserve management.