Monetary Policy and Treasury Risk Premia: Part 2
After giving an overview (see Part 1), Paul Whelan, of the Imperial College London and formerly the European Central Bank, walked the audience through the mechanics of an award-winning paper on monetary policy at a webinar on January 16, 2014 sponsored by GARP. A shock, by its very nature, is non-routine. Therefore, “a good measure of monetary policy shocks should exclude systematic components,” Whelan said. Another challenge was to “distinguish between quantity of risk versus price of risk channels.” Use of the Taylor rule allowed the researchers to isolate the exogenous dynamics of monetary policy. The trio was able to […]
Monetary Policy and Treasury Risk Premia: Part 1
“Monetary policy makers want to control the long end of the yield curve,” said Paul Whelan at a webinar on January 16, 2014 sponsored by the Global Association of Risk Professionals. Whelan co-authored an article that won the 2013 GARP Award for best paper in financial risk management. “Monetary Policy and Treasury Risk Premia”, by Andrea Buraschi, Andrea Carnelli, and Paul Whelan, provides a quantitative analysis of the effect of monetary policy shocks on future bond returns. Buraschi is at the University of Chicago Booth School of Business and Imperial College London; Carnelli is at Imperial College London; and Paul […]
Basel, the Big Picture: Tackling Risk Aggregation & Reporting. Part 2
“What [should we] look for in a risk aggregation solution?” asked Renzo Traversini, Director of Europe, the Middle East and Africa & Asia-Pacific, Risk Management Center of Excellence at SAS. He was the second of two speakers at a GARP-sponsored webinar to discuss the recently released Basel paper, Principles for Effective Aggregation and Reporting of Risk Data. Traversini focussed on the “nuts and bolts” of how to aggregate and report risk data. SAS is one of the major suppliers of information technology (IT) solutions in financial risk management. Timeliness is crucial to a good reporting system. Traversini began by showing […]
Basel, the Big Picture: Tackling Risk Aggregation & Reporting. Part 1
“It’s a quality piece of work that lays out the road ahead,” said Donna Howe, professor of finance at Brandeis International Business School. She was the first of two speakers at a webinar to discuss the 2013 Basel paper, Principles for Effective Aggregation and Reporting of Risk Data. The webinar was sponsored by the Global Association of Risk Professionals. Besides governance, Howe noted the 14 principles described in the paper expressed four main themes: completeness, accuracy, timeliness, and adaptability. Completeness of risk reporting is necessary, but “it becomes very easy to lose the nuance” when the data are too numerous […]
Exchange-Traded Funds: Beyond Beta?
“An ETF is a structure, not a strategy,” said Som Seif, founder of Claymore Investments, purchased in 2012 by BlackRock. He was addressing an afternoon roundtable on exchange-traded funds at the downtown offices of the CFA Society Toronto on November 28, 2013. ETFs are gaining attention nowadays, he said, because “lower fee investment management is the current trend.” Trained as an engineer, Seif noticed early on in his financial career that “indexing tended to win out,” net of fees. “I don’t believe markets are efficient,” he said, nor does he think that market capitalization is necessarily the best way to […]
Eye on Credit Markets. Part 2: Spreads Hit Floor
“The central bank stimulus has been significant—what will happen as it’s withdrawn?” asked Seth Rooder, Global Credit Derivatives Product Manager at Bloomberg. He was the second of two speakers to consider the effects of tapering in a GARP webinar presentation on November 21, 2013. A key question is: “when will the Fed taper?” Rooder said not soon, because with unemployment still above 6.5 percent, Vice-Chair of the Fed Janet Yellen will have unwillingness to taper. Currently, the Fed is pumping money into the system by buying $40 billion in mortgage-backed securities and $45 billion in Treasury bills per month. He […]
Eye on Credit Markets. Part 1: Little Beta, Lots of Alpha
“How will the credit markets perform if the Federal Reserve Board chooses to taper over the next year or so?” asked Sivan Mahadevan, Head of U.S. Credit Strategy and Global Credit Derivatives Strategy at Morgan Stanley. He posed this question to members of the Global Association of Risk Professionals on November 21, 2013. Here, “tapering” refers to a gradual lessening of asset purchases. As the first of two speakers in a webinar presentation, Mahadevan summarized the credit markets to date: “little beta, lots of alpha.” Investment grade assets have had a good rally this year. “The higher yields go, the […]
Europe: Is the worst over? Part II.
“Deleveraging takes a long time, and it is painful,” said Philippe Ithurbide, Global Head of Research, Analysis and Strategy at Amundi Asset Management. In the second part of his presentation to the CFA Society Toronto on November 19, 2013, he discussed solutions to European financial difficulties. Deleveraging must be helped along in order to shorten the time and reduce negative socioeconomic impacts. “Never in history have we seen the deleveraging of all the players at the same time.” “Banking credit is faltering everywhere in the euro zone,” said Ithurbide. Euro zone bank credit is still highly fragmented by nation, with […]
Europe: Is the worst over? Part I.
“The US had one financial crisis in 2008, but Europe has had two crises—2008 and 2011,” said Philippe Ithurbide, Global Head of Research, Analysis, and Strategy at Amundi Asset Management. He was addressing members of the CFA Society Toronto that had gathered in the TMX Group Centre in downtown Toronto on the evening of November 19, 2013 to hear an overview of European market trends. The first half of his talk was a comprehensive quantified description of the financial woes of the euro zone, followed by several proposed solutions and investments strategies in the second half. In the quarters since […]
Essential Mathematics for Economics and Business
Jonny Zivku, Product Manager at Maplesoft, gave a tour of the web-based tutoring and assessment product Maple T.A. on November 12, 2013. To highlight its features, Zivku drew on content that was tailored specifically for Essential Mathematics for Economics and Business by Teresa Bradley. This is one of the leading introductory textbooks on mathematics for students of business and economics, and was recently re-issued in its fourth edition by John Wiley & Sons. Each chapter of the book is structured with an overview, explanation, and applications. Students who do the exercises can check their answers against solutions given at the end of […]