GDP Alumni Event with Prof. Walter Featured on the NYU Stern Homepage

Walter home pageOn Friday, March 7, 2014, Professor Ingo Walter spoke to approximately 80 executives comprised of MS in Risk Management students, MS in Global Finance and Stern alumni, and members of the Hong Kong Society of Finance Analysts gathered in Hong Kong on March 7. The event was the first session of the Global Finance Seminar Series 2014 offered at HKUST by the MS in Global Finance program.

Professor Walter, who is one of the founding academic directors of the MS in Global Finance program as well as the founding academic director of the MS in Risk Management program, discussed the complex and dynamic issues that confront the global asset management industry such as risk management, regulation and governance, operations and technology.

From his latest publication, Global Asset Management: Strategies, Risks, Processes and Technologies, Professor Walter addressed the inception of the book, stating, “You really cannot be taken seriously unless you emphasize data.” Professor Walter collected the thoughts of experts – insiders as well as outsiders with no conflicts of interest – on the complex and dynamic issues that challenge the global asset management industry.

NYU Stern Website

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Professor Viral Acharya on Fire-Sale Risk in Financial Markets

The following is an excerpt from Bloomberg Businessweek:

Viral Acharya, NYU SternWall Street’s biggest firms are close to agreeing on a plan that would safeguard the financial markets from the crippling fire sales that engulfed Lehman Brothers Holdings Inc. and Bear Stearns Cos.

By doing so, the participants seek to reach a solution to what the Federal Reserve sees as the last systemic risk in the $1.6 trillion-a-day market for short-term funding yet to be addressed: the potential for questions over a bond dealer’s liquidity to unleash a wholesale dumping of assets that causes a crisis of confidence in the financial system.

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“The Fed is right to worry about fire-sale risk,” Viral Acharya, a finance professor who focuses on liquidity risk and regulation at New York University’s Stern School of Business, said in a telephone interview on Feb. 25. Lehman and Bear Stearns showed the consequences when “creditors in the repo market started worrying about these counterparties.”

Read the entire Bloomberg Businessweek article here.

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Professor Nouriel Roubini Discusses Political Uncertainty in Emerging Markets

The following is an op-ed titled “Emerging-Market Risk and Reward” by NYU Stern Professor Nouriel Roubini:

roubiniOne definition of an emerging-market economy is that its political risks are higher, and its policy credibility lower, than in advanced economies. After the financial crisis, when emerging-market economies continued to grow robustly, that definition seemed obsolete; now, with the recent turbulence in emerging economies driven in part by weaker economic-policy credibility and growing political uncertainty, it seems as relevant as ever.

Consider the so-called Fragile Five: India, Indonesia, Turkey, Brazil, and South Africa. All have in common not only economic and policy weaknesses (twin fiscal and current-account deficits, slowing growth and rising inflation, sluggish structural reforms), but also presidential or parliamentary elections this year. Many other emerging economies – Ukraine, Argentina, Venezuela, Russia, Hungary, Thailand, and Nigeria – also face significant political and/or social uncertainties and civil unrest.

And that list does not include the perilously unstable Middle East, where the Arab Spring in Libya and Egypt has become a winter of seething discontent; civil war rages in Syria and smolders in Yemen; and Iraq, Iran, Afghanistan, and Pakistan form a contiguous arc of volatility. Nor does it include Asia’s geopolitical risks arising from the territorial disputes between China and many of its neighbors, including Japan, the Philippines, South Korea, and Vietnam.

Read the entire article on Project Syndicate here.

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Professor Viral Acharya on China’s Debt Fueled Growth Slowdown

 

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Professor Ingo Walter’s Research on Investment Management Technology is Highlighted

The following is an excerpt from The Wall Street Journal: 

iwalterSystems prohibit timely launches of new investment products and hinder firms from keeping pace with regulatory demands and innovation

SimCorp, a leading provider of investment management solutions and services for the global financial services industry, has published a new white paper, titled “Catalyst or Catastrophe: The Impact of IT Systems on Sustainable Business Performance.” The paper, authored by Ingo Walter, Seymour Milstein Professor of Finance, Stern School of Business, New York University, is part of an ongoing series of industry thought leadership compiled and published by SimCorp.

In the paper, Walter draws from a multitude of recent research to establish the clear relationship between the state of a firm’s investment management technology and its future business health. IT infrastructure, Walter writes, has emerged as a major source of competitive advantage in today’s product-saturated, high volatility and low return atmosphere.

Read the entire article in The Wall Street Journal.

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Webinar: Does Risk Management Matter to Shareholders? An Analysis of the Value of Risk Management

yvette connorPresented by: Yvette Connor, NYU Stern MS in Risk Management, Class of 2013 & Managing Director – Risk Management Advisory Services at Alvarez & Marsal LLC

Date: Tuesday, March 11th, 2014

Time: 11:00 am Eastern Standard Time (EST)

To Register: https://www3.gotomeeting.com/register/803293662

NYU Stern MS in Risk Management Program proudly presents Yvette Connor, NYU Stern MS in Risk Management Class of 2013 & Managing Director – Risk Management Advisory Services at Alvarez & Marsal LLC. In this webinar, Yvette will be presenting her final capstone presentation: Does Risk Management Matter to Shareholders? An Analysis of the Value of Risk Management. The capstone project is a group project that works as a practical application of the curriculum taught throughout the year and presented at the culmination of the program.

Though not a new concept to either industry and academia, the discipline of risk management has gained in prevalence since the global financial crisis of 2008, during which time examples of perceived “poor” risk management were on display in abundance. This webinar seeks to ascertain whether or not there is value in “good” risk management; whether or not that value is recognized (and reaped) by shareholders; and, finally, whether or not that value can be quantified.

Building upon the existing body of research and the established analytical frameworks for testing and assessing the value of risk management, this webinar illustrates the relatively recent shift in focus among researchers and risk practitioners alike from traditional risk management strategies (e.g. hedging, insurance, etc.) to more holistic, enterprise-wide risk management programs. We will address the challenges inherent in identifying firms with “good” risk management and those without “good” risk management and evaluate the various methods for making such determinations; that is, through the use of surveys, industry research, corporate filings and the like.

We will ultimately arrive at the conclusion that a corporate culture emphasizing sustainability may be considered a reasonable proxy for firms with “good” risk management.

If you have any questions about the webinar or program, please do not hesitate to reach out to us at 212-998-0442 and msrm@stern.nyu.edu

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Inflation Risk Premium Implied by Options

mbrennerMSGF Academic Director and NYU Stern Professor Menachem Brenner along with his co-authors, Yoram Landskroner, Eddy Azoulay and Roy Stein of the Bank of Israel, explore how to measure expected inflation – a critical issue facing the Central Bank. One of the commonly used estimates of expected inflation is the yield differential between nominal bonds and inflation-indexed bonds (breakeven inflation). Breakeven inflation is, however, a biased estimate of expected inflation because it includes an inflation risk premium (IRP). Using a new approach, the authors estimate the IRP using the volatility implied from foreign exchange (FX) option prices combined with a price of risk extracted from stock prices. Purchasing Power Parity theory provides the linkage between inflation and the foreign exchange rate. Using data from the Israeli government bond market, which has a long history of liquid markets in inflation-linked and nominal bonds as well as an active FX options market, they find a statistically and economically significant positive inflation risk premium.

Read Professor Brenner’s entire paper here.

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MSRM Alum, Andrew Koh, to Speak at 5th Annual World Cards & Payments Summit

N12220351 KohMS in Risk Management Class of 2010 and MS in Global Finance Class of 2008 alum, Andrew Koh, will speak at this years 5th Annual World Cards & Payments Summit on February 10-12, 2014 in Dubai.

His topic of discussion will be on “Transforming your Enterprise’s Risk Management Framework”. It centers on real challenges involved in implementing an Enterprise Risk Management within financial institutions and the real takeaways through lessons learned and discussions with participants.

Andrew Koh is the Vice President and Head of Enterprise Risk Management for NETS Singapore, He is in charge of managing the group enterprise risk management policies, procedures and framework. He facilitates the use of group risk methodologies and risk tools throughout the organization, tailoring and conducting specialized ERM group wide training programs for NETS staff.

Visit the conference website here for more information.

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Is Bitcoin a Real Currency?

dyermackNYU Stern Professor David Yermack examines Bitcoin’s historical trading behavior to determine whether or not it behaves like a traditional sovereign currency. He finds that Bitcoin’s exchange rate volatility is greater than the volatilities of widely used currencies, undermining Bitcoin’s usefulness as a unit of account or a store of value. Additionally, he finds that Bitcoin’s daily exchange rates exhibit virtually no correlation with bona fide currencies, which he argues makes Bitcoin useless for risk management purposes and difficult for its owners to hedge. Bitcoin also lacks access to a banking system with deposit insurance, and is not used to denominate consumer credit or loan contracts. Overall, he concludes that Bitcoin appears to behave more like a speculative investment than like a currency.

Download his paper here.

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NYU Stern Prof. Nouriel Roubini on Emerging Markets

The following is an excerpt from CNBC:

roubiniWhile the “Fragile Five” – India, Indonesia, Brazil, Turkey and South Africa – have been among the hardest hit amid the turmoil in emerging markets, famed economist Nouriel Roubini says the threat of a full-fledged currency, sovereign-debt and banking crisis remains low.

“All have flexible exchange rates, a large war chest of reserves to shield against a run on their currencies and banks and fewer currency mismatches (for example, heavy foreign-currency borrowing to finance investment in local-currency assets),” Roubini, nicknamed Dr. Doom for his generally bearish views, wrote in an op-ed on the Project Syndicate website on Friday.

“Many also have sounder banking systems, while their public and private debt ratios, though rising, are still low, with little risk of insolvency,” he said.

Roubini, a professor at New York University’s Stern School of Business and chairman of Roubini Global Economics, said optimism around emerging markets is “probably correct” given robust medium-term fundamentals in most including urbanization, industrialization and the rise of a consumer society.

Read the entire article on CNBC.

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