Presentation / Video
New Approaches to Performance Evaluation
23 March 2017 | Risk Management Best Practice
Campbell Harvey`s presentation on New Approaches to Performance Evaluation at the International Centre of Pension Management (ICPM).
White Paper
An Improved Application of the Variable Annuity
28 February 2017 | Risk Management Best Practice
Variable annuities have been used as a payout mechanism in some US pension plans that are qualified under the U.S. Internal Revenue Code for many years. This innovative payout technique has also been introduced in a large pension plan in British Columbia that is registered under the Canadian Income Tax Act. Under this technique, the registered pension pl an establishes a “hurdle rate”.
Research Report
Illiquidity Premia in the Equity Option Market
21 February 2017 | Risk Management Best Practice
Illiquidity Premia in the Equity Option Market Related Project: Risk Management & Market Liquidity Authors: Peter Christoffersen, Ruslan Goyenko, Kris Jacobs, and Mehdi Karoui SUMMARY-Illiquidity-Premia.pdf . The Global Risk Institute funded this research along with the preparation of this paper. This paper is a summary of the larger research report “Illiquidity Premia in the Equity Option Market”…. View Article
White Paper
Summary of Key Risks in 2017
9 December 2016 | Risk Management Best Practice
Initial Perspectives on 2017 – This view is consistent with the consensus of our members, who participated in our key risk survey. Not surprisingly members identified Consumer Debt / Canadian Housing Market, Rising Interest Rates and Cyber Risk amongst their top concerns for 2017.
Presentation / Video
Enterprise Risk Management Roadmap: GRI Program Overview
30 November 2016 | Risk Management Best Practice
One of our primary goals has been to improve risk management in the financial services sector through enterprise risk management (ERM) education and training. In order to advance this important goal, Global Risk Institute is launching a comprehensive ERM Roadmap program initiative to contribute to this important ERM practice area.
Presentation / Video
Risk Management in the Middle East
25 October 2016 | Risk Management Best Practice
Risk Management in the Middle East Presentation by Frank Massey Frank Massey, Vice President and Head of Risk Management with Riyad Bank, speaks on the Opportunities and Challenges of Managing Risk as an Expatriate. Gain insights and lessons learned from a Canadian expatriate in building a risk management department from ground zero. Find out what you… View Article
Research Report
Optimal Delta Hedging for Options
21 September 2016 | Risk Management Best Practice
Delta hedging is an important way in which traders manage the risk in a portfolio of options. This article discusses those options.
Research Report
Investment Behaviour in the Laboratory
16 November 2015 | Risk Management Best Practice
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
White Paper
Enterprise Risk Management: How do we govern it?
13 June 2015 | Risk Management Best Practice
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.
Collaboration
Hedging and Risk-Return Frontier: an ALM Perspective
16 June 2016 | Risk Management Best Practice
Hedging and Risk-Return Frontier in Insurance: an ALM Perspective Asset-Liability Management (ALM) attempts to manage the underlying risk from mismatches between assets and liabilities that arise from fluctuations in the financial landscape. This project creates an ALM strategy for insurance companies that will account for demographic and financial risk while controlling for model risk. This… View Article
Collaboration
Risk Management & Market Liquidity
13 June 2016 | Risk Management Best Practice
Risk Management & Market Liquidity This project focuses on liquidity risk management and its integration with other types of risk, including market and credit risk, from two perspective. The first perspective is that of a financial institution. Here the researchers focus on incorporating liquidity risk in derivatives pricing models, funding value adjustment in derivatives valuation… View Article
Collaboration
Behavioral Finance
13 June 2016 | Risk Management Best Practice
Behavioural Finance Description While much is known about behavioral anomalies and their effect on the decision-making of financial professionals in uncertain and competitive environments, far less is known about their effect on decision-making on behalf of another person or institution, which are precisely the most important and influential decisions that professionals make. In an experimental… View Article
Collaboration
Long Horizon and Longevity Risk in Insurance and Pension Plans
10 June 2016 | Risk Management Best Practice
This project focuses on longevity risk and long-term investment guarantees (annuities) in the insurance industry and in pension plans