June 30, 2006
Thank you to all who contribute to PRMIA
PRMIA's fiscal year ends today, June 30th, and we are pleased to report that another very successful year has just been completed. The success of PRMIA would not be possible without the contributions of hundreds of individuals who volunteer their time and share their knowledge, thousands of individuals who provide their financial support, our association and university partners, and the many companies that promote PRMIA's standards for the risk profession and sponsor our organization. With apologies to anyone we have unintentionally missed, we gratefully acknowledge our many supporters below and thank you for your membership in PRMIA.
Thank you! (click here)
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June 28, 2006
PRMIA Institute Awards Best Paper in Risk Management at 2006 Financial Management Association European Conference
This month in Stockholm, Sweden, the PRMIA Institute awarded a prize for the top paper in risk management at the Financial Management Association's European Conference.
The winning paper was entitled Intraday Value at Risk (IVaR) Using Tick-by-Tick Data with Application to the Toronto Stock Exchange.
Our congratulations go to the authors and award recipients: Georges Dionne, HEC Montreal & CREF, Pierre Duchesne, CREF & Universite de Montreal and Maria Pacurar, HEC Montreal & CREF & Dlahousie University.
The objective of this paper is to investigate the use of tick-by-tick data for market risk measurement. The authors propose an Intraday Value at Risk (IVaR) at different horizons based on irregularly time-spaced high-frequency data by using an intraday Monte Carlo simulation. An UHF-GARCH model extending the framework of Engle (2000) is used to specify the joint density of the marked-point process of durations and high-frequency returns. The authors apply their methodology to transaction data for the Royal Bank and the Placer Dome stocks traded on the Toronto Stock Exchange. Results show that their approach constitutes reliable means of measuring intraday risk for traders who are very active on the market. The UHF-GARCH model performs well out-of-sample for almost all the time horizons and the confidence levels considered even when normality is assumed for the distribution of the error term, provided that intraday seasonality has been accounted for prior to the estimation.
The PRMIA Institute – A non-profit partnership between PRMIA and leading university programs around the world, focused on serving the educational, scientific and charitable mission of PRMIA. The PRMIA Institute sets best practice curricula for graduate programs in risk management and financial engineering/mathematics, publishes books like the Professional Risk Managers’ Handbook, now in use in over 105 countries, conducts public and private training programs and funds academic grants and scholarships in pursuit of excellence in research.
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June 22, 2006
PRMIA Publications Releases Professional Risk Managers' Guide to Energy and Environmental Markets
PRMIA Publications today released the Professional Risk Managers' Guide to Energy and Environmental Markets
"This is a vital and timely text for financial risk managers," said David R. Koenig, Exeuctive Director of PRMIA and the PRMIA Institute.
Edited by Peter C. Fusaro, with contributions from over 25 leading authors, The Professional Risk Managers' Guide to Energy and Environmental Markets brings these important and developing markets to life for all financial risk managers.
The book contains over 450 pages, from introductory materials to more advanced risk management themes.
Available immediately, anywhere in the world with an Internet connection. You can learn more and purchase by clicking here.
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June 14, 2006
Columbia Business School and PRMIA Institute Form Partnership to Deliver Risk Management Executive Education Programs
PRMIA Institute and Columbia Business School today announced their partnership to offer classroom-based educational programs to financial professionals in New York City beginning in the fall of 2006.
To meet the demands of risk professionals, the PRMIA Institute and Columbia Business School's Executive Education will jointly develop classroom-based educational programs that feature the top faculty of Columbia Business School. The classes will be available to the general public.
Read the Full Story.
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June 01, 2006
First University Graduate Program Built Around The PRM Certification and PRM Handbook
The ICMA Centre, University of Reading, has launched the first full-time Masters degree in financial risk management to encompass the Professional Risk Manager (PRM) certification syllabus and PRM Handbook in its curriculum. The PRM qualification is the leading professional qualification in its field with active candidates in more than 85 countries. The new Master of Science degree in Financial Risk Management has its first intake in October 2006.
The Professional Risk Managers’ International Association (PRMIA), who certify the holders of the PRM credential, have built strong links with a group of well-known business schools, including the ICMA Centre, through the PRMIA Institute, where best practice curricula for graduate programs in risk management are being developed. Carol Alexander, the ICMA Centre’s research director is also chair of the Academic Advisory Council (AAC) of the PRMIA Institute. The AAC consists of internationally renowned academics that are dedicated to global outreach and the highest educational standards. In addition to the ICMA Centre, members of the AAC come from the University of California at Berkeley Haas School of Business, Hong Kong University of Science and Technology Business School, Groupe HEC Business School in Paris, National University of Singapore Centre for Financial Engineering, University of Toronto Risk Lab, Technical University of Munich HVB-Institute for Mathematical Finance, Macquarie University Applied Finance Centre and the University of Michigan College of Engineering. Representatives from each institution are engaged in supporting the risk management profession through PRMIA.
“The MSc in Financial Risk Management is bound to appeal to current and future PRMIA members. Membership is rapidly expanding so in future the ICMA Centre plans to offer both distance learning and flexible learning versions of the degree. Students now recognize the benefit of adding professional qualifications to their academic degrees and we have two other new Masters degrees with this facility: the MSc in Investment Management (linked to the CFA) and the MSc in Compliance and Regulation, linked to our NASD qualification,“ said Professor Carol Alexander, Chair of Risk Management and Head of Research at the ICMA Centre and Chair of the Academic Advisory Council for PRMIA
“PRMIA places great value on the contributions that the ICMA Centre makes to raising the standards of the risk management practice through its leading degree programs. We believe that our academic partners contribute substantially to the betterment of risk management practices worldwide through such initiatives,” said David R Koenig, Executive Director and Immediate Past Chair, Board of Directors, of the Professional Risk Managers’ International Association (PRMIA)
‘The ICMA Centre has been leading the world in establishing academic excellence in financial risk management research and education. Our success is based on the integration of applied finance theory and industry specific knowledge. PRMIA, with its forward looking approach to best practice in risk management, offers an ideal partner to complement and enhance the new masters programme,” said Professor John Board, Director, ICMA Centre.
About the ICMA Centre
The ICMA centre has an international reputation for providing quality undergraduate, postgraduate and professional programs tailored to the capital markets industry. Established in 1991 with funding provided by the International Capital Market Association (ICMA) in Zurich, the Centre is housed in a purpose-built modernist building with state-of-the-art facilities including two dealing rooms using software similar to those found in major investment banks. Due to the success of the Centre and growing demand for their programs from a worldwide audience ICMA are investing a further £5million expansion to the building which will include an additional 50 seat dealing room, 150 seat lecture theatre as well as new seminar rooms and dedicated research area. The new building is expected to be open for students at the start of the 2008 academic session.
For more information regarding the programs at the ICMA Centre, please contact Samantha Heslop, Admissions Officer (s.heslop@icmacentre.rdg.ac.uk) or visit www.icmacentre.ac.uk.
About PRMIA and the PRMIA Institute
PRMIA is the Professional Risk Managers’ International Association. Formed in January 2002, PRMIA is the premier meeting place of the risk profession with more than 60 chapters around the world and over 33,000 members from more than 165 countries. A non-profit, member-led association of professionals, PRMIA is dedicated to advancing the standards of the profession worldwide through the free exchange of ideas. PRMIA offers the only globally endorsed Professional Risk Manager (PRM) certification program, pursued by over 1,600 active candidates from more than 85 countries, more than any other risk certification program. More information can be found at www.PRMIA.org.
The PRMIA Institute is the premier learning place of the risk profession. It is a non-profit corporation formed to serve the academic, scientific and charitable mission of PRMIA. The PRMIA Institute partners with leading university programs around the world to develop best-practice curricula for graduate level study in risk management and financial mathematics/engineering, classroom and online educational programs for working professionals, financial support of scholarly work, publications like the Professional Risk Managers’ Handbook and scholarships to support the study of risk management and financial mathematics/engineering among lower-income individuals. More information can be found at http://prmia.org/INDEX/institute01/.
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