Risk Attribution for Large Portfolios with Illiquid Assets

The key question addressed by this research project is: what sources of risk drive the volatility of the portfolio

held by the business partner? To answer this question, this project employs a set of recently proposed risk

management techniques. The business partner is a large institutional investment fund management company

with an investment portfOlio that includes assets from several countries and is composed by an array of diverse

investment vehicles (e.g., stocks and bonds, but also real estate, and private equity). Large and diversified

portfolios are vulnerable to several sources of risk, including (but not limited to) unexpected shocks to the

exchange rate, unexpected changes in monetary policy, or commodity price volatility. The aim of this project is

to attribute the overall portfolio riskiness to the different sources of risk. This means providing an answer to the

following, and similar, questions: “How much of the overall portfolio volatility is due to the shocks of monetary

TOBECONTINUED

Faculty Supervisor:

Valentina Galvani

Student:

Partner:

Alberta Investment Management Corporation

Discipline:

Sociology

Sector:

Finance and Insurance

University:

University of Alberta

Program:

Accelerate

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Government

Mitacs Partners