November 20, 2006
PRMIA Institute Awards Best Paper in Risk Management at 2006 FMA Annual Meeting
November 20, 2006 - The PRMIA Institute recently awarded a prize for the top paper in risk management at the 2006 Financial Management Association's Annual Conference in Salt Lake City to faculty from George Washington University and the Carlson School of Management at the University of Minnesota.
The winning paper was entitled Risk Management with Stress Testing: Implications for Portfolio Selection and Asset Pricing.
Our congratulations go to the authors and award recipients: Professor Gordon J. Alexander, the John Spooner Chair in Investment Management and Professor of Finance, Carlson School of Management, University of Minnesota and Alexandre M. Baptista, Assistant Professor of Finance in the School of Business at The George Washington University
Stress Testing is often used by banks and securities firms to set risk exposure limits. In their paper, the authors examine a model with an agent who faces binding stress testing constraints and another who does not. Their results, among other findings, provide further motivation to the literature in which security prices are not solely driven by systematic risk.
“The PRMIA Institute has been showing support for advanced academic research since its founding,” commented David R. Koenig, the Executive Director of the PRMIA Institute. “This year’s prize is the third such award presented for the scholarly work of the membership of the Financial Management Association.”
The winning paper can be downloaded from the FMA website by clicking here.
About PRMIA and the PRMIA Institute
The PRMIA Institute is setting a higher standard in risk education. 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 studies in risk management and financial mathematics / engineering, provides 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 among lower-income individuals.
PRMIA is the Professional Risk Managers’ International Association. Formed in January of 2002, PRMIA is a higher standard for risk professionals with more than 60 chapters around the world and over 35,000 members from more than 170 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 1,800 active candidates from more than 85 countries. You can learn more about both at www.prmia.org.
About the Authors
GORDON J. ALEXANDER is a Professor of Finance and holds the John Spooner Chair in Investment Management in the Carlson School of Management at the University of Minnesota. He received his B.S. in Business Administration from the State University of New York at Buffalo, and his M.B.A., M.A. in Mathematics, and Ph.D. in Finance from The University of Michigan.
His research specialties are investments and portfolio management. Current research areas involve market microstructure, risk management, and mutual funds. He has published articles in numerous journals, including the Financial Management, Journal of Banking and Finance, Journal of Business, Journal of Finance, Journal of Financial and Quantitative Analysis, Journal of Financial Economics, Journal of Financial Intermediation, Journal of Financial Markets, Journal of Monetary Economics, Journal of Portfolio Management, and Review of Financial Studies. He is the co-author of three books on investments and portfolio analysis; one of his co-authors is Nobel Laureate William F. Sharpe of Stanford University.
He is currently First Vice President of the Midwest Finance Association, and has been a Director of the Financial Management Association and a Senior Research Economist at the U. S. Securities and Exchange Commission.
ALEXANDRE M. BAPTISTA is an Assistant Professor of Finance in the School of Business at The George Washington University. He received his Licenciatura in Business Administration from ISCTE in Portugal, and his Ph.D. in Finance from the University of Minnesota.
His research specialties are portfolio management, risk management, asset pricing theory, and derivatives. He has published articles in several journals, including the Economic Theory, Journal of Banking and Finance, Journal of Economic Dynamics and Control, Journal of Economic Theory, Journal of Monetary Economics, Journal of Portfolio Management, Management Science, and Mathematical Finance.
Posted by dkoenig at 05:19 PM
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November 15, 2006
Geoff Kates, Bob Mark and Alexander Shipilov Elected to PRMIA Board Executive Committee
The Regional Directors of PRMIA today re-elected the members of the PRMIA Board Executive Committee to one year terms.
Geoff Kates, of London, was re-elected Chair of the Board of Directors. Robert Mark, of Lafayette, California, was re-elected as Vice Chair of the Board of Directors and Alexander Shipilov was re-elected as Secretary/Treasurer of the Board.
The Executive Committee has responsibility for the overall management of the association. The Board of Directors as a whole sets the stragegic direction for PRMIA.
Posted by dkoenig at 05:16 PM
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November 08, 2006
Elite Graduate Seminar Built Around PRM Certification and PRM Handbook
November 8, 2006 – The Technical University of Munich has launched an elite graduate seminar in professional risk management built on the Professional Risk Manager (PRM) certification syllabus and the PRM Handbook, the Professional Risk Managers’ International Association (PRMIA) announced today.
The seminar is part of the Elite Graduate Program“Finance & Information Management”. In the first part of the seminar the students will learn and present topics like market risk, credit risk and operational risk based on Section III of the PRM-Handbook. In the second part different case studies including National Australia Bank, BARINGS, Riggs Bank, US Savings & Loan Crisis, LTCM, Orange County, Metallgesellschaft and Continental Illinois will be discussed. This part of the seminar is based on the case studies to be prepared for the exam PRM IV. The final target of the seminar is to give the students a deeper insight into professional risk management and to prepare them for the exams in PRM III and IV.
“We are pleased to work with a selected group of students and PRMIA in setting global standards for graduate level education in risk management and financial engineering," said Prof. Rudi Zagst, Director of the HVB Institute for Mathematical Finance. "It is a wonderful chance for our students to base their education on one of the most challenging certification programs for financial risk managers around the world, the PRM.”
Within the framework of the Elite Network of Bavaria the Elite Graduate Program “Finance & Information Management” started with the academic year 2004/05 as a joint program of the University of Augsburg and the Technical University of Munich. Through the combination of an excellent professional education in the fields of Finance & Information Management with soft skills, multi- and interdisciplinary studies and international scientific and corporatepartnerships, the aim of the Elite Graduate Program is to provide very gifted and ambitious students with an exceptional academic education. Admission to this specific educational program with intensive and individual support will provide for a concentrated, international, efficient and, at the same time, cross-linked, practical study. The program is designed in order to enable its students to fill leadership-positions in business, science and politics.
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 universities and business schools, including the HVB-Institute for Mathematical Finance, through the PRMIA Institute, where best practice curricula for graduate programs in risk management are being developed. Rudi Zagst, the director of the HVB-Institute for Mathematical Finance is also member 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 HVB-Institute for Mathematical Finance, 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, ICMA Centre University of Reading,National University of Singapore Centre for Financial Engineering, University of Toronto Risk Lab, Macquarie University Applied Finance Centre, the Columbia Business School, George Washington University, the University of Cyprus and the University of Michigan College of Engineering. Representatives from each institution are engaged in supporting the risk management profession through PRMIA.
The HVB-Institute for Mathematical Finance will also launch a new PRM training program in Munich in November of 2006. The HVB-Institute for Mathematical Finance joins other leading university programs that have identified the PRM as the higher standard in risk certification programs and are helping to prepare risk professionals for the challenge of this leading risk management certification program.
About the Technical University of Munich
The Technical University of Munich (TUM) can trace its actual origins to the independent “Royal Polytechnic School” founded by King Ludwig II in 1868. Many outstanding university lecturers once worked at the TUM, and the establishment has produced a large number of leading scientists and engineers. The liquefaction of air by Carl von Linde (1895), the invention of the diesel engine by his student Rudolf Diesel (1897), the discovery of the structure of hemoglobin by Hans Fischer (1930 Nobel Price for Chemistry), the discovery of recoil-free gamma-ray resonance absorption of Rudolf Mößbauer (1961 Nobel Price for Physics), and the establishment of organometallic chemistry as a field of science by Ernst Otto Fischer (1973 Nobel Price for Chemistry) stand for a large number of pioneering inventions and discoveries made at the TUM.
The Institute of Technology, which was renamed Technical University of Munich in 1970, has long become a synonym for technical progress and has always focused on elite scientific research in close cooperation with industry partners. Since the TUM is the only technical university in the south German state of Bavaria, this places it under a certain obligation to keep abreast with the foremost advances in scientific and technical progress. In 2000, the TUM was the sole university to gain the “Best Practice University” distinction awarded by Bertelsmann Foundation’s Centre for Higher Education Development. The quality of the research and education provided by the TUM is approved by its continuously high rankings and the widely recognized standing of its graduates. In 2006, the TUM was awarded one out of only three “Elite Universities” in Germany.
The HVB-Institute for Mathematical Finance at the TUM was formed in 2003 and is part of the Centre for Mathematical Sciences. Research at the Institute covers the areas of stochastic finance, computational finance and financial optimization. A significant track record of industry funded research as well as a broad spectrum of academic research in risk and asset management characterizes the Institute’s activities and made it one of the most recognized institutes in Germany. An overview on the broad range of academic research, publications and industry reports can be found on the institute’s website www.mathfinance.ma.tum.de.
About PRMIA and the PRM
PRMIA is the Professional Risk Managers’ International Association. A nonprofit formed in January of 2002, PRMIA is a higher standard for risk professionals with more than 60 chapters around the world and over 37,000 members from more than 170 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 1,700 active candidates from more than 85 countries, more than any other risk certification program. The PRM is the higher standard in risk certification. More information can be found at www.PRMIA.org.
Posted by dkoenig at 02:32 PM
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