IIT Professor Receives Funding for Credit and Convertible Risk Research
Tomasz Bielecki, Applied Mathematics associate professor at Illinois Institute of Technology (IIT), was awarded a $41,388 grant from the Moody’s Corporation, for his research on “Topics in Credit Risk and Convertible Risk Research.” This is the second grant Bielecki received from Moody’s Investors Service.
Professor Bielecki and his collaborators’ research is aimed at providing theoretical and computational contribution to the area of credit risk management. A portion of the research will be directed at developing an algorithm for valuation and hedging of credit sensitive financial products, as well as the development of new theoretical tools for valuation. The research will also focus on the study of theoretical issues in valuation and hedging of hybrid financial instruments such as convertible bonds subject to credit risk.
“The credit derivatives industry will benefit with the development of tractable mathematical tools, providing the industry with new, methodologically sound procedures,” said Bielecki. “Likewise, the convertible bond industry will benefit with the improvement of quantitative tools. Valuation and hedging of credit default swaps will be specifically emphasized, which is essential for the finance industry, and new analytical tools will be developed for this purpose,” he said.
Moody’s Corporation is the world’s leading provider of quantitative credit analysis tools to lenders, investors, and corporations. They are publishers of market-leading credit opinions, deal research and commentary that reach more than 2,600 institutions and 16,500 subscribers.
Founded in 1890, IIT is a Ph.D.-granting technological university awarding degrees in the sciences, mathematics and engineering, as well as architecture, psychology, design, business and law. IIT’s interprofessional, technology-focused curriculum prepares the university’s 6,200 students for leadership roles in an increasingly complex and culturally diverse global workplace.
