Efficient Algorithms for Fairer Finance

Greensill Capital Computer Science/Global, 2020–21

Liaison(s): Andrew Martin, Warren Clegg
Advisor(s): Andrew Bernoff
Students(s): Jeremy Seow (PM), Christian Garcia, Steven Litvack-Winkler, Camille Simon, Sophia Thomas

Greensill is a London-based firm that is a market leader in providing working capital finance. A central technical challenge across a large portfolio of assets, such as a pool of receivables that Greensill manages, is risk estimation. Over the course of the year, our clinic team investigated and developed more time-efficient, risk-estimation algorithms. We ran Monte Carlo simulations in order to create risk metrics, explored underlying financial assumptions, and allowed for greater optimization of different portfolios.