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

Systemic Risk

When a large, interconnected organisation fails or has a significant negative “financial event”, it can have a rippling effect in the marketplace; destabilizing economies and causing an entire industry to collapse. We label these incidents as a Systemic Risk.

Many insights from the 2008 financial crisis identified that the consequences of an individual company-level event can be a source of systemic risk and must be examined. This causes the intervention of governments and regulators to prevent and minimize the rippling effect from impacting the economy as a whole. Systemic Risk is a recurrent and emerging risk that GRI continues to investigate and research.

Back to the Future: 2007 to 2030

Are Emerging risks foreshadowing a Systemic Risk Event? In this paper, we do a comparison of the GRAFT matrix over several years to gain insight into potential systemic changes that may be on the horizon.

Systemic Risk Measures & Portfolio Choice

Since the last financial crisis, numerous attempts have been made to identify and measure the systemic risk of financial institutions. In this paper, we develop a framework for the optimal portfolio choice based on an exogenous systemic risk measure.

Collateral Rule

In this report the author provides the first comprehensive study of the collateral rule in the market of cleared credit default swaps by studying how margins depend on portfolio risks and market conditions, and what the implications are for theoretical models of collateral equilibrium.

2017-2018 Risk Outlook Survey Results

This year marks 2nd years GRI has conducted their Risk Outlook Survey to assess the risk outlook of our member organizations for the coming year. The results of this survey provide insights into our members’ views on key risks, the stability of the Canadian financial system, and the strength of major global economies.

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.

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

Pension Fund Asset Allocation and Liability Discount Rates

This article explores the state of public defined programs across the United States, where the methodology for selecting a discount rate for the program’s liability is having significant implications for asset allocation and risk management.

Systemic Risk Survey

Systemic Risk, Policies, & Data Needs. This research survey on Systemic Risk was funded by Global Risk Institute & lead by Agostino Capponi, PhD of Columbia University.

Systemic Risk Benchmarking Study (SRISK)

Systemic Risk Benchmarking Study (SRISK) The systemic risk measure (SRISK) originally proposed by Brownlees and Engle (2011), is defined as the expected capital shortfall of a firm conditional on a prolonged market decline. It is a function of a firm’s size, leverage, and risk and can be calculated using publicly available data. Weekly updates of… View Article

Financial Systemic Risk: A Network Approach

Financial Systemic Risk: A Network Approach The Financial Systemic Risk project brought together 5 internationally known researchers to address foundational issues that must be resolved before we can fully understand what makes a resilient financial network. How can stability be measured and managed? How should banks be regulated, and what sticks and carrots should be… View Article