||Tailoring the Right Risk Model to Your Investment Strategy
Originally Aired: Wednesday, March 04, 2015
Time: 11:00 am EST | 4:00 pm GMT | 12:00 am HKT (Wed, 3/5)
Duration: 60 minutes
Asset managers should aim to align their portfolio risk management process with their investment strategies and horizons. In practice, most practitioners are forced to utilize standard risk models which can leave critical investment risks hidden, or they carry the burden of maintaining, integrating and interpreting multiple specialized risk models and systems.
In this webcast, our experts will present a new methodology called “risk resolution” which allows an investment firm to tailor the factors in a risk model to the sources of risk in a portfolio strategy, whether single or multi-asset class. This methodology decouples market-related factors driving re-pricing of assets in so-called “risk neutral” models such as Black-Scholes from latent, more fundamental factors which drive risk across a portfolio.
In this webcast, you will learn:
David Greenough, SVP Media, GARP
Phil Jacob, Senior Director, Axioma Risk Research