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.
