Innovative Tools in Measuring Systematic Risk

Length of project: 
1/2011 to 12/2015
Source of the funding: 
OP Research Foundation
Committed funding: 
EUR 90 000
Description of project: 
The main objective of this research project is to develop a set of innovative tools to monitor and predict systematic risk in levered financial institutions (LFI). We focus our analysis on alternative investment funds and banks’ trading operations since these levered financial institutions are potentially important sources of systematic risk, but have received relatively little attention in the literature so far. The first deficiency that we address relates to the challenge of distinguishing skill from excessive risk appetite when interpreting levered financial institutions' performance. As part of this project we construct the most comprehensive data base of alternative investment funds which is designed to allow policy makers and supervisors to track systemic risk in aggregate.
Research consortium or cooperation partners: 
Professor Robert Kosowski (Imperial College Business School, London Director of Risk Management Lab and Centre for Hedge Fund Research at Imperial College), Professor Antti Petajistö (New York University, Stern School of Business) and Assistant Professor Juha Joenväärä (OBS)
(Anticipated) results of the project: 
1-3 papers in top tier financial economics journals such as Journal of Finance, Journal of Financial Economics and Review of Asset Pricing Studies and1 Dissertation.
Contact person: 
Assistant Professor Juha Joenväärä (juha.joenvaara@oulu.fi)

Last updated: 25/8/2016