Lang Researcher Awarded NSERC Discovery Grant

The NSERC Discovery Grant

Dr. Fred Liu, an Assistant Professor of Finance in the Lang School of Business and Economics, has been awarded a prestigious NSERC Discovery Grant valued at $95,000 over 5 years and a Discovery Launch Supplement of $12,500. With a Ph.D. in Economics from the University of Western Ontario, Dr. Liu's research focuses on Financial Econometrics, Machine Learning, Asset Pricing, Risk Management, and Big Data. His current project, funded by the NSERC Discovery Grant, aims to improve how banks measure the risk of their portfolios and determine capital reserves needed to safeguard against potential losses. Specifically, this project will address the challenges posed by the Basel 3 regulatory framework, which mandates a transition from Value at Risk to Expected Shortfall for market risk measurement. By developing advanced deep learning models with feature engineering, Dr. Liu seeks to enhance the accuracy and interpretability of these risk models. This innovative approach is set to benefit regulators and risk managers by enabling more informed decision-making and proactive risk management.

About Dr. Liu's Research

Dr. Liu's research incorporates a variety of data, including stock and accounting data, high-frequency stock data, stock option data, and textual information from various financial sources. The project also emphasizes the practical training of highly qualified personnel in machine learning, financial econometrics, and risk management, fields that are increasingly in demand across academia, government, and industry. The anticipated outcomes of this project include high-quality publications and significant contributions to the financial industry's understanding of risk modeling under Basel 3. Dr. Liu’s work has already garnered interest from prominent institutions such as the European Central Bank and the Bank of Canada, highlighting its potential impact on both academic and regulatory practices.