David Saunders

University of Waterloo

David Saunders is an Associate Professor in the Department of Statistics and Actuarial Science, at the University of Waterloo, and the Director of the Centre for Financial Industries at the Fields Institute for Research in Mathematical Sciences. He is the co-author with Professor Mary Hardy of the book “Quantitative Enterprise Risk Management,” and author of many articles on the subjects of risk management, portfolio optimization and derivatives pricing. Dr. Saunders regularly serves as a consultant in the financial industry, and holds a Ph.D. in Mathematics from the University of Toronto.

Articles by David Saunders

Original research

The statistics of capture ratios

This paper investigates the statistical problem of estimating the capture ratio based on a finite number of observations of a fund’s returns.

17 Oct 2022

Original research

The price of liquidity in the reinsurance of fund returns

The authors consider a new type of contract for insuring the returns of hedge funds and aim to extend downside protection to an investment portfolio beyond the first tranche of losses insured by first-loss fee structures, which have become increasingly…

08 Apr 2021