Global Risk Institute Funded Researcher Wins PRMIA Risk Management Award
23 April 2015
APRIL 23, 2015
Carole Bernard, a GRI funded researcher, recently won the PRMIA Frontiers in Risk Management Award with Steven Vanduffel for the paper, A New Approach to Assessing Model Risk in High Dimensions. Ms. Bernard is a member of the research team exploring Model Risk within Systemic Risk Measures, part of GRI’s Systemic Risk research stream.
This paper will also be published in the Journal of Banking and Finance, a prominent academic journal.
The winning paper addressed the issue of model risk in measuring the risk of a portfolio. The authors suggest a new method for measuring model risk in the risk measures by examining the dependence of assets in a portfolio comprised of different asset classes. They demonstrate that the Value-at-Risk, which is often used for regulatory purposes, is typically prone to high model risk.
“Congratulations to Ms. Bernard on winning this prestigious award. GRI is committed to bringing the highest quality research insights to our members,” said James Wood, Managing Director of Member Relations and Communications.
The PRMIA Risk Management Award recognizes research that contributes to strengthening enterprise risk management practices by introducing new perspectives and enhancing insights, methods and tools.