ISRP February Call: Measuring portfolio risk with a proxy-based framework and parametric bridge

"Measuring portfolio risk with a proxy-based framework and parametric bridge.”

Jonathan will explore his approach to investment risk and the methodology South Carolina developed internally to quantify risk on a sub-asset class basis. He believes this approach can explain 90% of total and active investment risk with less than 10% of the cost of a traditional risk model by employing simple volatility decompositions across a robust public proxy framework.

Speaker:  

Jonathan Graab, Risk Officer, South Carolina Retirement System Investment commission