Nick Wade from Northfield and the Curious Quant discuss the impact of COVID on risk modeling frameworks, assumptions, and how the recent movements in asset markets may or may not impact the short and long-term assumptions of asset owners.
COVID Popup Podcast: Curious Quant and Nick Wade discuss if risk models have something to say about pandemic risk.
COAERS finds rich pickings in PE secondaries; warns of retail risk DRA
The exit drought and extended holding periods in private equity is causing mounting pain for many LPs. But for Austin-based COAERS, it is providing ample market to pick up bargains in the secondary market. Sarah Rundell spoke to CIO David Kushner.
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How Norway’s SWF deals with FX tail risk
From a risk management perspective, tail risks and return distribution asymmetries of investments are important to analyse. Norges Bank Investment Management (NBIM) in this note describes a modelling approach that addresses some of the weaknesses of standard risk models. It uses the model internally as a complement to standard models to evaluate tail risk in foreign-exchange
Regulatory risk in Europe a factor for infrastructure investment
The head of infrastructure at Australia’s $80 billion Future Fund has cited regulatory risk in Europe and the United Kingdom as reasons to be wary about infrastructure investment in the region. Raphael Arndt, the Future Fund’s head of infrastructure and timberlands, told a Sydney conference this week that he was particularly concerned with the situation
Macro sensitive portfolio strategies
This research paper by MSCI defines macro-economic risk as the change in asset value due to persistent shocks to real economic growth. This definition underscores the role of long horizons in macroeconomic risk and the principal issue facing investors: how should asset allocation respond to large macroeconomic shocks, given that their consequences are likely to
Innovation brings results at Austria’s APK
Austria is a country with a strong tradition of innovation. That can be sensed through its nineteenth century industrial emergence to Gustav Klimt’s secessionist art movement in turn-of-the-twentieth-century Vienna and the Austrian school of economics that later spawned monetarist pioneer, Friedrich Hayek. The APK pension fund is these days adding to the list of those
What is intergenerational justice?
In the paper Pension Funds, Sovereign-wealth Funds and Intergenerational Justice from the Norwegian School of Economics, those Scandinavians have come up with something better than the national alcohol monopoly: a natty new finance term. “Intergenerational justice” (try saying it thrice after a glass of aquavit) seems to refer to a combination of two things: a
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