RESEARCH

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

Risk Management Practices

All organizations are faced with risks that have the potential to negatively affect their business. Risk management practice in financial services focuses on identifying, measuring and analyzing risk to minimize negative impact.

GRI assists in first making sure members know what risks exist and promoting the best practices for handling those risks.


New Approaches to Performance Evaluation

Campbell Harvey`s presentation on New Approaches to Performance Evaluation at the International Centre of Pension Management (ICPM).

An Improved Application of the Variable Annuity

Variable annuities have been used as a payout mechanism in some US pension plans that are qualified under the U.S. Internal Revenue Code for many years. This innovative payout technique has also been introduced in a large pension plan in British Columbia that is registered under the Canadian Income Tax Act. Under this technique, the registered pension pl an establishes a “hurdle rate”.

Illiquidity Premia in the Equity Option Market

Illiquidity Premia in the Equity Option Market Related Project: Risk Management & Market Liquidity Authors: Peter Christoffersen, Ruslan Goyenko, Kris Jacobs, and Mehdi Karoui SUMMARY-Illiquidity-Premia.pdf . The Global Risk Institute funded this research along with the preparation of this paper. This paper is a summary of the larger research report “Illiquidity Premia in the Equity Option Market”…. View Article

Summary of Key Risks in 2017

Initial Perspectives on 2017 – This view is consistent with the consensus of our members, who participated in our key risk survey. Not surprisingly members identified Consumer Debt / Canadian Housing Market, Rising Interest Rates and Cyber Risk amongst their top concerns for 2017.

Enterprise Risk Management Roadmap: GRI Program Overview

One of our primary goals has been to improve risk management in the financial services sector through enterprise risk management (ERM) education and training. In order to advance this important goal, Global Risk Institute is launching a comprehensive ERM Roadmap program initiative to contribute to this important ERM practice area.

Risk Management in the Middle East

Risk Management in the Middle East  Presentation by Frank Massey Frank Massey, Vice President and Head of Risk Management with Riyad Bank, speaks on the Opportunities and Challenges of Managing Risk as an Expatriate. Gain insights and lessons learned from a Canadian expatriate in building a risk management department from ground zero. Find out what you… View Article

Optimal Delta Hedging for Options

Delta hedging is an important way in which traders manage the risk in a portfolio of options. This article discusses those options.

Investment Behaviour in the Laboratory

Investment Behaviour in the Laboratory Related Project: Behavioural Finance Preliminary  for GRI Working paper  November  16,  2015 Abstract This paper is an experimental study of dynamic investment decisions. The  goal  of  the  experiment  is  to  test  theoretical  predictions of the effect of human capital on investment. Subjects make repeated portfolio allocation decisions, allocating their money between… View Article

Enterprise Risk Management: How do we govern it?

A collection of essays by leading risk management practitioners key risk governance-related themes, such as governance structures, risk culture, risk policies, risk/strategy alignment, risk capacity, risk appetite, and risk identification and measurement.

Hedging and Risk-Return Frontier: an ALM Perspective

Hedging and Risk-Return Frontier in Insurance: an ALM Perspective 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 risk. This… View Article

Risk Management & Market Liquidity

Risk Management & Market Liquidity  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 derivatives valuation… View Article

Behavioral Finance

Behavioural Finance 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 an experimental… View Article