Mathematics exists everywhere around us. Almost all greatest achievements of mankind have been built on the foundation of Mathematics, more or less. A normal person has got exposures to Mathematics since when they are 6 years old, and I, a university student, has just only taken my very first step in discovering what is possible with Mathematics.

I was majoring in Physics during my high school year, maybe that was where my interest in learning Mathematics stemmed from. Being a science student, I always loved to solve complex Physics questions with Mathematical methods; and from that, a combination of Physics with Mathematics helped me better understand of the physical world.

Coming to Macquarie university, I chose to take up the Bachelor’ s degree in Actuarial studies.  Glimpsing at my course structure with only 2 first year Mathematics units, I thought the necessity of delving into more advanced Mathematical knowledge has ceded.

I was proven wrong when I first came across the area of Financial modelling and simulation. It was during the pandemic in the beginning of 2020 when the coronavirus pandemic has brought about increasing market volatility and, at the same time, reminded us of the importance of risk management.

At that time, we students had a task of estimating the risk exposures of a simulated company, since financial institutions are required to estimate the loss distributions of portfolios, and compute risk measures that summarise these distributions. This is a complex task for us as well as it is for financial institutions and portfolio managers since there are lots of variables to account for.

When I first did some simulations for the task, I got very volatile results with lots of noises, and it also takes a large amount of simulations, as a result, time, to acquire a stable risk measures estimation. I could only imagine the amount of computational costs financial institutions have to incur if they use the simulating method I am taught at university.

Experiencing the difficulties, I realized this is an opportunity for enhancing and optimizing the simulating method. I immediately went on researching for various statistical methods that have been developed to address this problem. The more I delved into the area, the more Mathematics and Statistical knowledge I need to acquire. This is where Mathematics comes in handy to support financial modelling and simulations. I am fascinated of how mathematical models can be used to improve the simulating process, and on top of that, there are various models and methods which are applicable to many simulating scenarios of interest. This has triggered my interest in researching more into the area, which results in me being a Vacation Research Scholar at AMSI this summer.

Peter Nguyen
Macquarie University