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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

Abstract:
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:
  • How to analyze the sources of risk and to translate that analysis into a unique risk resolution tailored to your investment strategy.
  • How the choice of factors creates a common vocabulary for the entire enterprise, across middle- and front-office teams.
  • How to use risk resolutions in stress tests to reveal the behavior of portfolios under uncommon or hypothetical market scenarios.
  • How to configure risk resolutions for specific use cases:
    • Measuring of risk in a long-short equity portfolio
    • An equity pair trade
    • Hedging tail risk in a corporate credit book

    Moderator:
    David Greenough, SVP Media, GARP

    Presenter:
    Phil Jacob, Senior Director, Axioma Risk Research