RESEARCH

We emphasize and encourage links between academic researchers and practitioners at financial institutions to bring theoretical techniques to bear on real-world issues.

Research Projects


Systemic Risk Benchmarking Study (SRISK)

Systemic Risk Benchmarking Study (SRISK) SUMMARY: The systemic risk measure (SRISK) originally proposed by Brownlees and Engle (2011), is defined as the expected capital shortfall of a firm conditional on a prolonged market decline. It is a function of a firm’s size, leverage, and risk and can be calculated using publicly available data. Weekly updates… View Article

Hedging and Risk-Return Frontier: an ALM Perspective

Title Hedging and Risk-Return Frontier in Insurance: an ALM Perspective Summary: Asset-Liability Management (ALM) attempts to manage the underlying risk from mismatches between assets and liabilities that arise from fluctuations in the financial landscape. This project creates an ALM strategy for insurance companies that will account for demographic and financial risk while controlling for model… View Article

Short Selling Bans

Title Short Selling Bans SUMMARY: In both the 2008-09 crisis and the 2011-12 euro debt crisis, security regulators imposed short selling bans, targeting them mainly at financial institutions. This was motivated by the fear that a collapse in a bank’s stock price could lead them to experience funding problems which would trigger further price drops…. View Article

Risk Management & Market Liquidity

Title Risk Management & Market Liquidity  SUMMARY: This project focuses on liquidity risk management and its integration with other types of risk, including market and credit risk, from two perspective. The first perspective is that of a financial institution. Here the researchers focus on incorporating liquidity risk in derivatives pricing models, funding value adjustment in… View Article

Quantum Threat and Mitigation

Category Risk Management Title Quantum Threat and Mitigation SUMMARY: Emerging quantum technologies threaten the foundational tools and systems used by financial institutions. The risks include widespread compromise of private information, loss of trust in financial systems, and the breakdown of information systems upon which institutions rely for core business functions. Although the threat may be… View Article

Optimality Criteria for Commodity Futures Margin Requirements

Title Optimality Criteria for Commodity Futures Margin Requirements SUMMARY: Margin requirement is one of the most prolifically debated risk management methods for clearing houses. There are two main schools of thought for setting margin requirements: the prudential approach of Figlewski (1984) and Gay et al. (1986) which argues that the main purpose of margins is… View Article

Optimal and Actual Asset Allocation Decisions in Protracted Low Interest Rate Periods

Title Optimal and Actual Asset Allocation Decisions in Protracted Low Interest Rate Periods SUMMARY: The project conducts an empirical study of the aggregate asset allocation decisions of Canadian, UK and US life insurance companies and pension funds. The project addresses three questions: 1. When making asset allocation decisions, do institutional investors react to changing economic… View Article

Low for Long

Title Low for Long SUMMARY: This research analyses the response of pension funds to the prolonged low-interest rate environment. This was achieved by; Looking at what different pensions have actually done since 2008; Determining what the response should have been based on strategic asset allocation models that acknowledge possible changes in the interest rate regime;… View Article

Financial Systemic Risk: A Network Approach

Title Financial Systemic Risk: A Network Approach   SUMMARY The Financial Systemic Risk project brought together 5 internationally known researchers to address foundational issues that must be resolved before we can fully understand what makes a resilient financial network. How can stability be measured and managed? How should banks be regulated, and what sticks and… View Article

Central Clearing House Risk

This research aims to understand the role of clearinghouses in market stability and to assess the impact of regulatory policies.

Behavioral Finance

Title Behavioural Finance Summary: Description While much is known about behavioral anomalies and their effect on the decision-making of financial professionals in uncertain and competitive environments, far less is known about their effect on decision-making on behalf of another person or institution, which are precisely the most important and influential decisions that professionals make. In… View Article

Multi-Period MV Approach to Risk & Return in Climate Change Policy

Title Multi-Period MV Approach to Risk & Return in Climate Change Policy SUMMARY: There is increasing public pressure on governments to commit to credible plans to reduce greenhouse gas emissions through carbon taxes, cap and trade or other regulatory systems. The responses of governments to climate change will have large impacts on the economy and… View Article

A Financial Approach to Environmental Risk

There is increasing public pressure on governments to commit to credible plans to reduce greenhouse gas emissions through carbon taxes, cap and trade or other regulatory systems.