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I received my MMath (2004) and PhD (2008) from the Department of Statistics and Actuarial Science at the University of Waterloo. Prior to joining Laurier, I was an assistant professor in the Department of Applied Mathematics at the University of Western Ontario from 2008 until 2012.
I am interested in applied probability and statistics, especially their application to problems faced in the financial industry and with a particular emphasis on problems faced by risk management professionals and financial regulators. For instance, I am currently interested the appropriate treatment of correlation in models used by ratings agencies and banks, efficient calculation of risk measures for large loan portfolios and issues related to the design of contingent capital securities (e.g. CoCo bonds, non-viability contingent capital, bail-in debt, etc.).
- Research was recently featured in the Globe and Mail (Streetwise, July 2014).
I have supervised students at all levels, including undergraduate research assistants (e.g. NSERC USRA), MSc students (both coursework and thesis) and PhD students (I have adjunct status at the University of Western Ontario and the University of Waterloo). The majority of my former graduate students are currently employed in the financial sector.
- Metzler, Adam and R. Mark Reesor. “Valuation and analysis of zero-coupon contingent capital bonds.” Mathematics and Financial Economics (forthcoming).
- Metzler, Adam and Alexander Scott. “Rare event simulation for diffusion processes via two-stage importance sampling.” Monte Carlo Methods and Their Applications. (2013).
- Metzler, Adam. “The Laplace transform of hitting times of integrated geometric Brownian motion.” Journal of Applied Probability. (2013).
- Don L. McLeish and Adam Metzler. “A multiname first-passage model for credit risk.” Journal of Credit Risk. (2011).