Congratulations to Nikolay Tsyganov and Mohamed Louizi who have convinced our jury with their work on CleaRisQ.
The winning team convinced us with their work on CleaRisQ:
CleaRisQ is a real-time risk management system for Global FMIs and trading participants. It calculates intraday risk and the handles 8m transactions worth €40Bn per day. Enables backtesting, stress testing, reverse stress testing, sensitivity analysis, full risk drilldown and what-if analysis. Based on filtered historical simulation with an anti-procyclical component. CleaRisQ was successfully deployed at EuroCCP in 2021.
The ceremony took place on 01.02 in the AULA of University Zurich during our flagship event Risiken am Schweizer Immobilienmarkt & Swiss Risk Award
Check out video of event here.
The Top 5 (in no specific order)
|Nominated (Organisation)||Nominated for|
|Gianluca De Nard (UZH), Robert F. Engle (NYU Stern Volatility and Risk Institute) and Bryan Kelly (Yale University)||Hedging Climate Change Risk: A Climate Factor Mimicking Portfolio Approach. A procedure to dynamically hedge climate change risk. Information extracted from climate news series constructed through textual analysis of newspapers. Uses a mimicking portfolio approach to build climate change hedge portfolios. Resulting climate risk index and its hedge portfolio published on NYU Stern V-Lab platform (https://vlab.stern.nyu.edu)|
|Sergio Galanti (KPMG)||The Spider Algorithm. Uses advanced AI techniques to assist firms in strengthening the effectiveness of their internal controls. Analyzes a firm’s control landscape and provides a recommendation on which risks to focus in order to reduce financial losses and how, at the same time, to reduce the cost of controls.|
|Olivier Scaillet (University of Geneva) ||Backtesting Marginal Expected Shortfall and Related Systemic Risk Measure. Assesses the criteria used to identify the financial institutions that contribute the most to systemic risk. It proposes an early warning system indicator for future systemic crises deduced from these backtests. Co-authored by Banulescu-Radu, Hurlin, Leymarie|
|Nikolay Tsyganov, Mohamed Louizi (swissQuant)||CleaRisQ is a real-time risk management system for Global FMIs and trading participants. It calculates intraday risk and the handles 8m transactions worth €40Bn per day. Enables backtesting, stress testing, reverse stress testing, sensitivity analysis, full risk drilldown and what-if analysis. Based on filtered historical simulation with an anti-procyclical component. CleaRisQ was successfully deployed at EuroCCP in 2021|
|Jean-Claude Rochat (Rochat Advisory)||Newsletter of regulatory changes all compliance officers and risk management (control) staff. Tracks over 120 sites of regulators and standard setters from the main financial hubs worldwide. Reports on rules, regulations, statements of policy, supervisory statements, regulatory expectations, regulatory guides, standards, and best practices.|
About the Swiss Risk Award
The Swiss Risk Award is an annual award for the best contribution to risk management. This can be a project or product made by an individual or group/team. It must have been made for the most part in Switzerland or for company/institution with head office in CH. The winner will be given a cash prize of CHF 2’500 and chance to present at a high profile venue.
Judging and criteria
The judging is done in several steps – the final decision who of the Top 5 will win the award was done by this years judging panel: Roger Müller (Head Risk, Zurich Cantonal Bank), Monica Mächler (Board of Directors, Zurich Insurance), Dominic Rau (Risk Management, Swiss Re) and Volker Gloe (CRO, Cembra Bank)
For each nominee, each judge should rate along each of the following criteria:
- Practical Impact: Improves (or has potential to improve) effectiveness/efficiency of risk management practices at a micro- or macro level
- Originality/creativity: Candidates are “thinking outside the box” as well as “looking at the bigger picture” while pushing/expanding the intellectual boundaries
- Societal impact: What is the potential application in contributing to the risk management system from a societal perspective? I.e. is there a broader benefit for society?
Learn more about the Swiss Risk Award.