July 21, 2024

PRMIA Risk Management Seminars

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.
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Friday May 19th -- 12pm-1pm.

Alistair Milne
, City University, London UK
The Relationship between Economic, Regulatory, and Prudential Capital

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.

Alistair Milne is senior lecturer in banking and finance at Cass Business School and director of the Centre for Research into European Financial Markets and Institutions. Previously he has been an economic adviser to the Financial Intermediaries Division of the Bank of England; lecturer in economics at the University of Surrey, a research fellow at London Business School, and has worked as a macroeconomist for HM Treasury and the Government of Malawi. He holds a PhD from the London School of Economics and has published papers on a wide range of academic and policy topics.

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.

Audio of talks

May 4, 2006, 5:30 p.m. - held at the Fields Institute

Featuring: John Ilkiw, VP Portfolio Design & Risk Management, CPPIB
Risk, Return and Accountability: How the CPPIB Manages Your Moneey

February 15, 2006, 5:30 p.m. - held at the Fields Institute

Featuring: John Fraser, VP Internal Audit and Chief Risk Officer, Hydro One Inc.
Enterprise Risk Management at Hydro One

December 7, 2005, 5:30 p.m. - held at the Fields Institute

Featuring: Santiago Carrillo, Universidad Autonoma de Madrid
Operational Risk: the search for reliable and stable economical capital estimation

September 14, 2005, 5:30 p.m. - held at the Fields Institute

Featuring: Allan Brender, Senior Director, Actuarial Division in the Office of the Superintendent of Financial Institutions Canada, (OSFI)
Risk Management in Canadian Life Insurance Companies - a Regulatory Perspective

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