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

Regulatory Compliance and Financial Stability

Regulatory oversight, compliance demands and ethical standards are all top of mind concern of organization leadership. Failing to keep abreast of the implication and impact of practices has potential to jeopardize earnings and reputation. GRI is committed to working with our members to help provide insights from its research towards improving processes, governance and offering strategy to highlight areas of concern.

The Case of Open Banking

In this report the authors share their insights and identify some of the key changes and issues that the financial sector may be facing in the next few years as the use of open APIs becomes more ‘mainstream’.

Robust Hedging in Incomplete Markets

The research report discusses the development of a hedging strategy for fund manager who faces uncertainty about the expected return on the assets as well as uncertainty about the expected growth in liabilities.

The Challenges of Implementing IFRS 9 – Part 2

At the GRI we expect the transition to IFRS 9 to present challenges to the various stakeholders. There is a clear need for education and discussion across the financial services industry as we approach the implementation date this November. In this paper we focus on the implications of IFRS 9 going forward, particularly as Canadian banks are required to “go live” in November.

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.

Shadow Banking: Non-bank Credit Intermediation Heightens Risks for the Global Financial System

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.

The Challenges of Implementing IFRS 9-Impairment

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.

Regulating Dark Trading: Order Flow Segmentation and Market Quality

Dark trading and its regulation are critically important issues in modern markets, yet many questions about its impact remain unanswered. Regulators around the world are grappling to determine the most appropriate regulatory regime to ensure that they maximize the benefits associated with dark trading, whilst minimizing any potential costs.

Market Liquidity: One door closes, another one opens?

Market liquidity is in a transition and the capital markets are undergoing a significant transformation. Like any transition, this one too has its share of challenges and yet, provides many opportunities to participants.

Using the Hadoop Ecosystem to meet Basel 239 Requirements

In this paper, we define the Hadoop ecosystem, its components, and how it can help with risk data aggregation and management holistically.

Low rate ever higher debt

The explosion of debt levels world-wide, fueled by extremely low interest rates, may be the biggest and most immediate risk facing the financial sector.

Defined Benefit Plans Are Disappearing

Are variables the answer? In an effort to de-risk, many private companies and public institutions are moving to defined contribution (DC) plans.

Variable Annuities: Fees too high or too low?

To illustrate the basic idea of how a Variable Annuity can mitigate this risk, we examine a very simple product: a Guaranteed Minimum Withdrawal Benefit (GMWB).

Not too big to fail!

The 2008 financial crisis resulted in bank failures, tax payer funded bail outs and new regulations. “Never again” say bank regulators and politicians.

Construction of Mortality Indexes

The Do’s and don’ts – What Makes a Good Mortality Index? With appropriate mortality indexes, one can construct standardized mortality-linked securities.

Say Hello To “Basel IV”

Regulatory rules governing banks – “Basel IV” risks undermining investment made in risk management human capital & technology, as well as perversely incenting banks to hold higher-risk assets

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

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

Short Selling Bans

Short Selling Bans In both the 2008-09 crisis and the 2011-12 euro debt crisis, security regulators imposed short selling bans, targeting them mainly at financial institutions. This was motivated by the fear that a collapse in a bank’s stock price could lead them to experience funding problems which would trigger further price drops. Short-selling bans… View Article

Optimality Criteria for Commodity Futures Margin Requirements

Optimality Criteria for Commodity Futures Margin Requirements Margin requirement is one of the most prolifically debated risk management methods for clearing houses. There are two main schools of thought for setting margin requirements: the prudential approach of Figlewski (1984) and Gay et al. (1986) which argues that the main purpose of margins is to cover… View Article

Central Clearing House Risk

This research aims to understand the role of clearinghouses in market stability and to assess the impact of regulatory policies.