The award was one of six given through a competition for papers on financial risk management and disclosure. A panel of reviewers from academia and KPMG evaluated submitted papers based on contribution and the quality of the research.
Peter Christoffersen's paper, which is a joint work with Denis Pelletier at North Carolina State University, explores new ways of backtesting risk management systems. The proposed methods are based on measuring the duration of time between the occurrences of large losses. Christoffersen's paper is entitled Backtesting Value at Risk: A Duration-Based Approach and can be downloaded.
Professor Christoffersen will present his research at a conference organized by KPMG in Clearwater, Florida, on December 11-13, 2003.
The KPMG & UIUC Business Measurement Research Program was announced on January 30, 2002, to support research on new measurement, reporting and assurance concepts. For more information about the program, see the website.