Institute for Mathematical Innovation

Risky Business of Measuring Risk

Friday 19 February 2016

IMI Public Lecture

Time: 3.15 pm - 4.15 pm (Tea and coffee from 2.45 pm)

Venue: Wolfson Lecture Theatre (Building 4W, Room 1.7)

Audience: Open to all, but registration required.  Register your attendence

 

Risk imageTaking account of risk is fundamental to good decision making and assessment of performance. As such, it is important to recognise its presence in any business, economic and public policy situation. But integrating risk into our judgements, and taking account of it in an informative manner, is severely hampered if we are unable to measure it well - or do not have an understanding of its sources and potential consequences.


When measuring levels of risk, we often fall a short of quantifying changes in risk. The recent financial crisis and the subsequent attempts of regulators and governing bodies to monitor and restrict risk taking behaviour provides a good example of how complex it can be to understand risk. Another example is the post-crisis rebalancing of pension funds’ portfolios towards low-risk assets which not only means that the likelihood of earning high enough returns to recover losses and correct the underfunding of funds is pretty slim. More importantly, it puts risk measurement at the centre of the question of whether pension funds’ portfolios are really providing an appropriate rate of return on pension savings.


In her talk Professor Zalewska will discuss the difficulties of measuring risk in practice and the challenges faced in interpreting the evidence, using the dot-com bubble of 1997-2001, the current financial crisis, and the developments of the pension industry in the last-decade as examples of the risky business of trying to measure risk.
 

Professor Ania Zalewska

Professor Ania ZalewskaAnia Zalewska is Professor of Finance and the Founding Director of the Centre for Governance at the University of Bath. She obtained her first PhD in Mathematics from the Polish Academy of Sciences, Warsaw. Attracted by mathematical applications, she then went onto study financial economics and subsequently obtained a PhD in Economics from the London Business School. Before her appointment at the University of Bath she worked at the Limburg Institute for Financial Economics at Maastricht University and the Department of Economics at the University of Bristol. She has had visiting positions at Haas School of Business, University of California Berkeley, NYU Stern School of Business, and Rutgers Business School. She has published on the evolving characteristics of financial markets, corporate governance, regulatory issues of public utilities, and the pension industry.


In addition to her academic work she has also worked on various research projects for numerous UK governmental and regulatory bodies (e.g., Department for Energy and Climate Change, Financial Services Authorities, Competition Commission, Her Majesty Revenue and Customs).
 

This event to open to everyone, but please register your attendance. Please contact the IMI Co-ordinator Dr Catrin Yeomans at imi@bath.ac.uk for further information.