Carlo Acerbi

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Carlo Acerbi

Carlo Acerbi
Managing Director and Head of Risk Management Research

About the Contributor

Carlo Acerbi is a managing director and Head of Risk Management Research. He focuses on risk management, risk regulation and instrument pricing. Previously, Carlo worked as a risk manager and financial engineer for several Italian banks and in McKinsey & Co.’s risk practice. Carlo received a Ph.D. in Theoretical Physics from the International School for Advanced Studies. He has taught advanced derivatives at Bocconi University, and is an Executive Fellow of the Essex Business School.

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Blog posts by Carlo Acerbi


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  1. Asset managers globally can no longer ignore fund liquidity risk management.

  2. The U.S. Securities and Exchange Commission’s liquidity rule is designed to protect investors from incurring significant transaction costs when the assets in their mutual funds are not liquid enough to sustain funds’ redemption policies.

  3. Markets fear that a defeat of constitutional reforms proposed in Italy’s Dec. 4 referendum would end the government of Prime Minister Matteo Renzi, who has promised to resign if they fail. The reforms aim to make it easier for governments to implement their programs. A failed referendum could produce political instability, which could complicate efforts to recapitalize the country’s struggling banks, impede the government’s ability to reform the economy for the long term and increase risk across Europe, already engulfed by a banking crisis.

  4. The U.S. Securities and Exchange Commission’s new liquidity rules mark the most ambitious ever initiative against investor dilution — the unfair costs an investor may suffer when assets are not liquid enough to meet redemption requests.

  5. Slow growth and a shortage of safe assets have led major central banks to maintain monetary policies that include short-term interest rates near or below zero. The policies, which aim to encourage businesses and consumers to borrow and spend, have lowered bond yields, distorted yield curves, shifted the composition of central banks’ balance sheets toward riskier assets and sent savers in search of yield. The persistence of low growth and a lack of inflation also have led investors to wonder whether such policies still pack any punch.

  6. Stress testing has experienced a resurgence of interest in the wake of the 2008 financial crisis. The lessons from that period, perhaps more than any previous one, taught the risk industry that expert judgment and economic insight may help investors anticipate and avoid exposure to major financial downturns by using forward-looking models.

  7. The decline in Chinese equities and commodity prices this summer renewed investor concerns about a possible economic hard landing in the Asian giant. In particular, the 8.5% market plunge on August 24 spread fear into global markets that continues to this time.

  8. Risk measures, such as Expected Shortfall and Value at Risk, are designed to calculate the risk of a portfolio. But different risk models may work better than others for different asset classes and in varying time horizons. The MSCI Model Scorecard provides an innovative tool designed to help select the best risk model in terms of Expected Shortfall (ES) and Value at Risk (VaR) predictivity.

  9. After the global financial crisis of 2008, investors and regulators realized that liquidity risk in multi-asset class portfolios could no longer be overlooked. Too many risk models had assumed ample funding and low trading costs, which contributed to the meltdown.

  10. When RiskMetrics, now a part of MSCI, announced Value-at-Risk (VaR) as its stated measure of risk in 1996, it initiated an industry standard for institutional risk management that was quickly adopted by the Basel Committee on Banking Supervision for its internal capital adequacy models.