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PRMIA Institute awards best paper in risk management at 2006 Financial Management Association European Conference |
June 28, 2006 – (Stockholm, Sweden) The PRMIA Institute today announced that it has awarded a prize for the top paper in risk management at the 2006 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 & Dalhousie
University.
"The PRMIA Institute is committed to supporting the development of best
industry practices through advanced academic research," commented David R.
Koenig, the Executive Director of the PRMIA Institute. "The PRMIA Institute
looks forward to continuing to support the academic work of the membership of
the Financial Management Association."
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.
About PRMIA and the PRMIA Institute
PRMIA is the Professional Risk
Managers' International Association. A nonprofit formed in January of 2002,
PRMIA is the premier meeting place of the risk profession with more than 60
chapters around the world and over 34,000 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 TM) 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.
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Last updated on: 06-07-11
Canada Research Chair in Risk Management, gestion.risques@hec.ca © HEC Montréal, 2006. All rights reserved. |
HEC Montréal Canada Research Chair in Risk Management |
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