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What CFS Industry Speaker Series
When Friday, April 4

8:45 - 10:00 a.m.

Where

PITTS 4114, Rensselaer Campus

Contact Shelly Samuel
Email samues@rpi.edu
Phone 518.276.6682

 












Variability of Risk Measures and the Risk Management Profession

Center for Financial Studies Industry Speaker Series

 

Dr. Chris Dohonue
Managing Director
Global Association of Risk Professionals (GARP)

 

*Light breakfast before the seminar.

Abstract: In the wake of the financial crisis, regulators (the Basel Committee in particular) have sought to review and refine the minimum capital requirements for market risk. Regulators believe that rebuilding confidence in the banking system requires trust in the validity of risk-weighted assets. However, in the three studies done by the Basel Committee in recent years, the problem of significant variability in risk‐weighted assets remains. In this presentation, we examine the regulatory and industry efforts to understand the variability in market risk-weighted assets and the potential implications for future regulatory initiatives. We will also introduce GARP, the Financial Risk Manager (FRM) certification program and the evolution of the risk management profession.

Speaker’s Bio: Dr. Christopher Donohue heads the GARP Research Center and is a member of the FRM committee. He is responsible for managing the content development for GARP's certification and educational offerings, developing new resources for GARP including risk management courses, and conducting and supporting research in financial risk management topics. Previously, Dr. Donohue was a partner at a hedge fund where he was responsible for the development of asset allocation tools for pension funds and automated trading systems. Prior to that, he was a director in the global research center at Deutsche Asset Management. Dr. Donohue also worked as the director of optimization technology at Alphatech. He has published several articles on portfolio management and optimization. Dr. Donohue has a B.A. from Hamilton College in mathematics and a Ph.D. from the University of Michigan in operations research.

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