Lynda Khalaf
2019 SSHRC Insight Grant
Simulation-Based Inference on Measures of Financial Risk
After the 2008 recession, a number of studies questioned the ability of inference on risk premiums in equilibrium-based asset pricing models and statistical tail risk assessments to be reliable tools for efficient capital allocation and policy analysis.
SSHRC has awarded $289,000 to Professor Khalaf to assess these frameworks.
“Critiques underscore various pitfalls pertaining to statistical identification, assumptions on subsidiary although consequential effects, handling of big data and parameter stability,” explained Khalaf. “Motivated by these concerns, we seek to develop and implement improved tools that are informed by and will contribute to ongoing advances in econometrics.”
In collaboration with Jean-Marie Dufour (McGill University) and Marie-Claude Beaulieu (Université Laval), Khalaf will consider “asset pricing factor models including Arbitrage Pricing Theory (APT) motivated cross-sectional conditional and unconditional regressions, which imply that expected excess returns are determined solely and linearly by loadings on risk factors.”
The second research stream “focuses on risk assessment techniques, which include defining, estimating and back-testing risk measures.”
2019 NSERC Discovery Grant
Simulation-Based Multiple Inference Problems: Theory and Application
Professor Khalaf has been awarded a Discovery Grant from the Natural Sciences and Engineering Research Council of Canada (NSERC) for research that proposes a new methodology to measuring income inequality over time. She is the first faculty member in the Faculty of Public Affairs to receive an NSERC grant. Her project will receive $20,000 per year over a five-year period.
In her application, Professor Khalaf references research on inequality by Nobel Laureate Simon Kuznets and more recently, economist Thomas Piketty that have “shaken the discipline worldwide.” Her research “aims to develop and validate concrete statistical tools towards evidence-based inequality analysis, building on the fact that inequality measures are multi-dimensional—both conceptually and definitionally.”
Christopher Worswick, Associate Dean (Research and International) for the Faculty of Public Affairs, says the project will offer a step forward in the analysis of income distribution.
“Many people are concerned that income inequality is worsening. This research will enable us to have confidence in our ability to test for change in income inequality over time,” he says. “This grant also demonstrates the Faculty of Public Affairs’ leadership in the areas of statistics, economics, and public policy more generally.”