PROGRAMS AND ACTIVITIES
|September 25, 2016|
Launched in Spring 2004 the PRMIA Risk Management seminar presents
talks on issues of current interest to both professionals and academics
in the fields of risk mananagement. PRMIA
is an international association of professional risk managers. The seminar
series is co-sponsered by the Toronto
chapter of PRMIA and by the Fields Insitute. Talks cover a broad
range of topics, not necessarily restricted to research in mathematical
finance, the topic of the longstanding and complementary Quantitative
Finance seminar series.
This presentation compares economic capital, the risk-adjusted performance measure widely used by banks, with prudential capital measures such as those imposed by bank regulators. I will first consider conditions set out in Milne and Onorato (2006) that allow financial institutions to measure performance using return on prudential capital (value at risk). These conditions are implausibly strong, suggesting that prudential and economic capital are unconnected. I will then present ongoing research on the impact of regulatory requirements on bank capital structure, performance measurement, and loan decisions showing that for banks consistently pursuing shareholder value, regulatory requirements should have only minor impact on bank valuation or business decisions.
He teaches courses on banking, risk management, credit risk, and systems of payment and settlement. His recent research has been on: banking competition especially in the area of securities processing and payment systems and with reference to the establishment of a single European financial market; bank capital management and bank regulation; and the impact of capital market frictions on firm and household behaviour and the business cycle.
May 4, 2006, 5:30 p.m. - held at the Fields Institute
Featuring: John Ilkiw, VP Portfolio Design & Risk Management,