RESEARCH

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

Risk Management Best Practice

Behavioural Finance

This project uses the tools of modern finance and risk management to measure and model environmental risks.  Environmental risks can be thought of as long run risks which naturally influence portfolio decisions including insurance.  This study examines publicly traded environmental portfolios and develops portfolios which will be published on the widely viewed and celebrated web site — VLAB.stern.nyu.edu.  The volatility of such portfolios will be a measure of the new information on environmental risk.  If investors hold these assets, then the cost of capital will be lower for firms in long positions in these portfolios and will be higher for those that are shorted.  Because the benefits of these portfolio strategies and of associated public policies are in the distant future, the benefits must be discounted back to the present.  The discount rate is extremely important in this calculation.  We are carrying out new research that will improve our estimates of the discount rate using modern finance tools.

university

University: McGill University
Project Lead: Jim Engle-Warnick

publications and links

 

   
   

Lead Researcher

Lead Researcher 

 

Jim Engle-Warnick

Jim Engle-Warnick is an experimental economist and Associate Professor of Economics at McGill University. He previously held a Post-Doctoral Research Fellowship in the Economics Group at Nuffield College, University of Oxford. Jim holds a BSEE from the University of Akron, an MBA from Carnegie Mellon University and a Ph.D. from the University of Pittsburgh. His research focus is on the behaviour of trust, price dispersion, buyer concentration, and central bank decision-making.