SlideServe
Télécharger Obtenir Pro
Menu
Accueil Pro
Préférences
ApparenceLight Aide et commentaires
© SlideServe · v2026

Managing Geopolitical Risk In Investment Decision Making

elijah-guerra avatar
elijah-guerra
14 diapositives · 326 Views · Nov 16, 2014

Sixth Global Fixed Income Capital Markets/Investment Management Workshop/Retreat July 20-24, 2002 Aspen, Colorado. Managing Geopolitical Risk In Investment Decision Making. Campbell R. Harvey Duke University and National Bureau of Economic Research. The Risk Setting.

Managing Geopolitical Risk In Investment Decision Making - slide 1
01 / 14Managing Geopolitical Risk In Investment Decision Making
1 / 17

Télécharger la présentation

Managing Geopolitical Risk In Investment Decision Making
Une image / un lien ci-dessous est fourni (tel quel) pour télécharger la présentation

Politique de téléchargement : le contenu du site vous est fourni TEL QUEL pour votre information et votre usage personnel ; il ne peut être vendu, concédé sous licence ni partagé sur d’autres sites sans l’accord de son auteur.Le contenu vous est fourni TEL QUEL, pour votre information et votre usage personnel uniquement. Téléchargez la présentation en cliquant sur ce lien. Lors du téléchargement, si vous ne parvenez pas à télécharger une présentation, l’éditeur a peut-être supprimé le fichier de son serveur.Pendant le téléchargement, si vous ne parvenez pas à obtenir une présentation, le fichier a peut-être été supprimé par l’éditeur.

F I N

Plus de contenu associé

Transcription de la présentation

  1. Sixth Global Fixed Income Capital Markets/Investment Management Workshop/Retreat July 20-24, 2002 Aspen, Colorado Managing Geopolitical Risk In Investment Decision Making Campbell R. Harvey Duke University and National Bureau of Economic Research

  2. The Risk Setting • Unfortunately, this case is on the program because of September 11. • Risk management advances have been focused largely on market risks, i.e. VaR models • Now, there is significant interests in managing GPR

  3. The Risk Setting • Big picture issues • Is GPR “diversifiable” or “systematic”? • Uncertainty versus risk? • How does GPR fit into an investment management strategy?

  4. The Risk Setting • Some reading: • Campbell R. Harvey, 1994, “National Risk and Global Fixed Income Allocation,” with C. Erb and T.E. Viskanta, Journal of Fixed Income. • Campbell R. Harvey, 1996, “Political Risk, Financial Risk and Economic Risk,” with C. Erb and T.E. Viskanta, Financial Analysts Journal. • Campbell R. Harvey, 1996, “The Influence of Political, Economic and Financial Risk on Expected Fixed Income Returns,” with C. Erb and T.E. Viskanta, Journal of Fixed Income. • Campbell R. Harvey, 2000, “The Drivers of Expected Returns in International Markets,” Emerging Markets Quarterly.

  5. The Risk Setting • The U.S. has become much more risky • High sensitivity to some GPRs • Disagreement on strength of economy • Financial information less credible

  6. U.S. Has Become a Riskier Global Investment ICRG Political Risk

  7. U.S. Has Become a Riskier Global Investment ICRG Political Risk

  8. U.S. Has Become a Riskier Global Investment Risk Ratings August 2002

  9. U.S. Has Become a Riskier Global Investment Risk Ratings May 2001

  10. U.S. Has Become a Riskier Global Investment Higher risk means equity investors require a higher rate of return

  11. U.S. Has Become a Riskier Global Investment • Regression equation implies an increase in the medium-term risk premium of 240bp • This helps explain the recent decline in the equity market • This helps explain the recent behavior of the U.S. dollar • This helps explain the slow down in real investment (hurdle rates are up)

  12. Diamond Asset Management Company • Previous CIO “fallen on the sword” because of failure to have detailed contingency plans for GP events – like September 11 • Diamond characterized as “geopolitical planning void”

  13. Diamond Asset Management Company • First attempt to develop a strategy

  14. U.S. Has Become a Riskier Global Investment