Winner Chosen for Peter L. Bernstein Award

NEW YORK--()--An article in The Journal of Derivatives, published by Institutional Investor Journals, has been named the winner of the 2015 Peter L. Bernstein Award. Risk Estimation and Hedging: A Reverse Stress Testing Approach—written by Yaacov Kopeliovich, Arcady Novosyolov, Daniel Satchkov and Barry Schachter—investigates a recent innovation in risk management.

The Peter L. Bernstein Award honors extraordinary and compelling research published in any of Institutional Investor’s 11 market-leading journals over the previous 12 months. The award is named for Peter L. Bernstein, the celebrated economic historian, consultant and Founding Editor of The Journal of Portfolio Management. He is the author of seminal works, such as Against the Gods: The Remarkable Story of Risk and Capital Ideas: The Improbable Origins of Modern Wall Street.

Kopeliovich, Novosyolov, Satchkov and Schachter are all associated with RiXtrema. In addition, Kopeliovich is with University of Connecticut Business School and Novosyolov is with Siberian Federal University in Krasnoyarsk, Russia.

The winning paper was chosen through a blind review process by an independent committee that comprised Gary Gastineau (ETF Consultants LLC), William Goetzmann (Yale School of Management) and Ronald Kahn (BlackRock).

Kahn noted the analysis in the article has a very practical benefit—the potential to build better portfolios. “Reverse stress testing provides insight beyond traditional value-at-risk, by identifying the most likely tail risk scenarios,” he added.

Robert Arnott, Chairman and CEO of Research Affiliates LLC, stated: “The authors’ approach provides information beyond that available from a traditional risk decomposition of VaR, as well as provides an algorithm that can be used to operationalize tail risk hedging. This annual tribute to the memory of Peter Bernstein and his devotion to the research that strengthens the investment industry is always a welcome milestone in my year. Congratulations to the authors on their valuable contribution to the risk management literature!”

The authors will share an award of $5,000, which has been generously provided by Research Affiliates LLC (www.rallc.com), and will be presented by Institutional Investor Journals. The winning article can be found online at (http://www.iijournals.com/doi/abs/10.3905/jod.2015.22.4.010).

About Institutional Investor Journals www.iijournals.com

Institutional Investor Journals offer in-depth, original, and practical research in key areas of investment management and finance, including fixed income, index investing, derivatives, trading, private equity, portfolio management, structured finance, and wealth management. Written and edited by world-renowned practitioners and academics, the journals are extensively read and highly regarded in the industry.

About Research Affiliates, LLC www.rallc.com

Research Affiliates, LLC, is a global leader in innovative indexing and asset allocation strategies. Dedicated to solving complex investment issues, Research Affiliates creates innovative strategies that respond to the current needs of the market. Approximately $113 billion in assets are managed worldwide using investment strategies developed by Research Affiliates.

Contacts

Institutional Investor Journals
Cathy Scott, +1-732-963-5853
cathy.scott@iijournals.com
or
Research Affiliates, LLC
+1-949-325-8700
info@rallc.com

Contacts

Institutional Investor Journals
Cathy Scott, +1-732-963-5853
cathy.scott@iijournals.com
or
Research Affiliates, LLC
+1-949-325-8700
info@rallc.com