Global Risk Institute is a preeminent source of ideas on the management of emerging risks and trends for financial services organizations
23 May 2017 | Climate Change and Environmental Risks
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.
11 May 2017 | Cyber security and Fraud
“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.
11 May 2017 | Financial Stability and Regulatory Compliance
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.
5 May 2017 | Climate Change and Environmental Risks
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).
2 May 2017 | Financial Stability and Regulatory Compliance
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
19 April 2017 | Financial Stability and Regulatory Compliance
As the shadow banking sector continues to grow, what are the impacts on the overall financial system? How are global financial markets affected by shadow banks and what are the areas to watch? Sheila Judd, Executive in Residence at Global Risk Institute discusses these ideas in this paper on Shadow Banking.
28 March 2017 | Financial Stability and Regulatory Compliance
Canadian Banks and credit unions are in the midst of implementing one of the most challenging accounting changes in recent memory, when they move from an Incurred Loss (IAS 39) to an Expected Credit Loss (“ECL”) (IFRS 9) accounting standard. This article provides an overview of IFRS 9 and its potential impacts.
23 March 2017 | Risk Management Practices
Campbell Harvey`s presentation on New Approaches to Performance Evaluation at the International Centre of Pension Management (ICPM).
22 March 2017 | Macro-economic Risk
Equity Holding Preferences of U.S. based Insurance Companies in Low Interest Rate PeriodsRelated Project: Optimal and Actual Asset Allocation Decisions in Protracted Low Interest Rate PeriodsAuthor: C. Krishnamurti, N. Papagiorgiou, F. RadmehrProfessor Chandrasekhar Krishnamurti is the lead research contributor for the Global Risk Institute on Optimal and Actual Asset Allocation Decisions in Protracted Low Interest Rate Periods.... View Article
7 March 2017 | Technology Innovations
"Artificial Intelligence” is a very powerful narrative. In fact, today, many leading thinkers envision a future where machines surpass humans in intelligence. In Part One of our two part series, we assess of the potential near term risks and benefits of Artificial Intelligence. Later, in Part Two, we explore how AI is expected to impact Financial Services and what specific use-cases we expect to see over the next 1-3 years.