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

A Parsimonious Parametric Model for Generating Margin Requirements for Futures

Although regulatory rules for derivatives margin requirements have not yet been implemented they are currently under active discussion. In the USA, margins of derivative positions cleared by a central counter-party (CCP) must adhere to the 2010 Dodd-Frank Act, which reinforces the role of their supervision by the Securities Exchange Commission and the Commodity Futures Trading Commission. In Europe, EMIR regulations will require more stable margin requirements and an increased confidence level for CCP losses when a client defaults.

Research Report

A Comparison of Survey and Incentivized-Based Risk Attitude Elicitation

A Comparison of Survey and Incentivized-Based Risk Attitude Elicitation Authors: Jim Engle-Warnick, Diego Pulido, and Marine de Montaignac Related Project: Behavioral Finance The Global Risk Institute funded this research along with the preparation of this paper. Download Summary:  A Comparison of Survey & Incentivized Based Risk Attitude Elicitation EXECUTIVE SUMMARY One of the duties of financial... View Article

White Paper

Cyber Risk & Security

On April 11th, Duo Security and the Global Risk Institute (GRI) co-hosted an executive breakfast in Toronto to provide an update on current security trends and key information that leaders need to know.

White Paper

CAT Bond – Premium Spreads

The cost of natural disasters is a major risk for insurers. Recent examples of major catastrophic events, and the associated losses, include Hurricane Katrina ($84 billion), the 2008 Sichuan earthquake ($148 billion), the 2011 Tohoku earthquake and tsunami in Japan (more than $300 billion) and Hurricane Sandy ($75 billion).

White Paper

Breaking Bad Data & Solving for AML

With this article we are kicking off a focus on the usage of Big Data and Advanced Analytics in the area of anti-moneylaundering (AML). AML has been a particularly difficult solution for global banks as the evolving regulatory standards call for banks to be able to readily monitor all transactions across the firm, which requires an in-depth knowledge of their clients and their clients’ counterparties (and often times the correspondent banks).

Research Report

Climate Change and Long-Run Discount Rates: Evidence from Real Estate

In this paper, we estimate the term structure of discount rates for an important risky asset class, real estate, up to the very long horizons relevant for investments in climate change abatement. We show that this term structure is steeply downward-sloping, reaching 2.6% at horizons beyond 100 years. We explore the implications of these new data within both a general asset pricing framework that decomposes risks and returns by horizon and a structural model calibrated to match a variety of asset classes.

Research Report

A Resource Estimation Framework for Quantum Attacks Against Cryptographic Functions – part 1

“A Resource Estimation Framework for Quantum Attacks Against Cryptographic Functions” provides an update on our ongoing work related to estimating the real-world effort it will take for a quantum computer to compromise specific cryptographic functions at the foundation of protecting our ICT infrastructure.

Research Report

Incentives Behind Clearinghouse Default Waterfalls

We study the incentives provided by the conventional clearinghouse default loss allocation mechanism via a theoretical model. The equilibrium solution to our model provides an analytical characterization of important layers of a clearinghouse’s loss-absorbing capital, systemic risk, and economic surplus from centrally cleared trading.

Research Report

Managing Carbon Risk: A Look at Environmentally Conscious Indices

Increasingly, governments around the globe are implementing more stringent climate policies to help stimulate the transition to lower-carbon economies. This transition brings with it both risks and opportunities for the financial sector. In this study, we compare the carbon intensity and performance of ‘green’ equities portfolios (environmentally conscious indices) and traditional market portfolios (market indices).

Research Report

Analysis of the SRISK Measure and Its Application to the Canadian Banking and Insurance Industries

In this paper, we analyse, modify, and apply one of the most widely used measures of systemic risk, SRISK, developed by Brownlees and Engle (2016). The measure is defined as the expected capital shortfall of a firm conditional on a prolonged market decline. We argue that segregated funds, also known as separate accounts in the US, should be excluded from actuarial liabilities when SRISK is calculated for insurance companies

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