Publications

Global Risk Institute is a preeminent source of ideas on the management of emerging risks and trends for financial services organizations

Publication Library


Research Report

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

Research Report

Funding Value Adjustments and Fair Value

Valuing Derivatives: Funding Value Adjustments and Fair Value Related Project: Risk Management & Market Liquidity ABSTRACT The authors examine whether a bank should make a funding value adjustment (FVA) when valuing derivatives. They conclude that an FVA is justifiable only for the part of a company’s credit spread that does not reflect default risk. They... View Article

White Paper

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.

Research Report

Short Rate Joint Measure Models

Short Rate Joint Measure Models Related Project: Risk Management & Market Liquidity  February, 2014  Abstract Traditionally, derivatives researchers have tended to focus on the (risk-neutral) Q-measure because of its role in pricing. Since the crisis, risk management has assumed an increased importance and there is now a realization among many quants that the (real-world) P-measure... View Article