This intermediate-level, 3-day course purports to discuss best practices methods and processes of measuring, managing, monitoring and controlling risks in financial institutions asset management activities.
It aims to discuss the fundamental challenges imposed by asset management services as they differ in scope and nature from traditional banking activities and address specific means to control market, credit and operational risks.
This course will review recent developments in the asset management industry, especially as they are impacted by the current financial crisis, identify related risks, review appropriate frameworks and discuss proactive means to assess risks in a dynamic and challenging environment for investment funds.
Featuring:
- Overview of financial risk management practices
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Risk and compliance reporting for investment funds
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Portfolio risk management
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Measuring the performance of internationally diversified portfolios
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Overview of financial derivatives
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Portfolio risk management using derivatives
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Risk management of hedge funds
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Funds of hedge funds
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Portfolio of hedge funds – style drifts
- Operational risk management
Course Summary
It will provide a brief overview of the financial risk management practices in place in modern financial institutions and describe the evolutions from a developmental perspective. It will concentrate on identifying and quantifying an institution's risk appetite and a case study will challenge participants to apply these concepts in a situation depicted from the 'real world'.
Further, the course will dive into the complexities of managing risks for various asset management functions and apply consecrated measures to assess risk and return from an investor's and a regulator's perspective. Specifically, risks of derivative contracts will be analysed separately and participants will be challenged to derive appropriate risk reports for a derivatives book via a dedicated case study.
Given the importance and specifics of the hedge funds industry, the course will dedicate a separate section for risk analysis in this industry class. Regulatory developments under way will be discussed and potential impacts will be assessed for the risk metrics employed for hedge funds and funds of hedge funds. A last section will be dedicated to operational risks and the course will focus on best practice means of assessing such risks, especially focusing on forward looking measures such as objective early warning systems.
Who Should Attend
The course will be of value to professionals in the following areas:
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Directors and senior managers of asset management companies
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Risk managers
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Compliance officers
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Pension fund managers/trustees
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Institutional investors
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Corporate treasurers
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Regulators and lawyers
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Portfolio managers
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Directors and senior managers of insurance companies
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Private investors
Day 1
The causes and impact of the financial crisis on the asset management industry
- What has happened and why?
- Where did risk models fail?
- Regulatory aspects
- Rating agencies viewpoints
- What does this have to do with risk management practices?
Overview of financial risk management practices
- Risk identification
- Corporate governance
- Regulatory framework (specific to the asset management segments)
- Market risk
- Credit risk
- Operational risk
- Other risks
- Limit systems congruent with risk appetite
- Case study: On defining a fund's inherent risk appetite.
Risk and compliance reporting for investment funds
- Regulation and reputational risk
- Role of the regulator
- Reporting requirements
- Compliance issues
- MIFID implications
Asset Allocation
- Global vs. tactical asset allocation
- Optimisation approaches
- Portfolio insurance
- Stress testing portfolio insurance
- Currency decisions
- Case study on optimal asset allocation under currency uncertainty
Portfolio risk management
- CAPM and applications to asset management
- Performance measurement and risk adjusted performance attributions
- The Zero Beta model & Brennan´s model
- Merton´s continuous time Version
- The Treynor measure
- The Sharpe measure
- Jensen´s Alpha
- Relationships between various measures
- The tracking error
- The information ratio
- The Sortino ratio
- Recent developments and best practice refinements:
- The Morningstar rating system
- The actuarial approach
- VAR based analysis
- Taking management style into account
Timing analysis
- The Treynor and Mazuy method
- The Henriksson methods
- Decomposition of Jensen´s measure and Tiing evaluation
Measuring the performance of internationally diversified portfolios
- The international asset pricing model
The McDonald model
Pogue, Solnik and Russelin´s model
Limitations and criticisms
Day 2
Overview of financial derivatives
- Forwards and futures
- Interest rate, currency and equity swaps
- Options
- Credit derivatives
- Use of derivatives in funds
- Controlling the use of derivatives in funds
- Compliance issues
Portfolio risk management using derivatives
- Role of derivatives hedging
- Static vs. dynamic replication
- Use of futures contracts
- Option related hedging
- Portfolio insurance as a hedging strategy
- Risk management of funds with derivatives
- Case study
- Risks of structured products
- Case study: portfolio of fixed income securities and derivatives to be evaluated against a benchmark. Special Issues: Hedge efficiency / Basis risk evaluation / Setting a Limit framework
Risk management of hedge funds
- Equity hedged strategies
- Long/ short equities
- Market Neutral
- Market timing
- Relative Value strategies
- Convertible arbitrage
- Static returns
- Gammatrading
- Pricing inefficiencies
- Fixed income arbitrage
- Volatility arbitrage
- Capital structure arbitrage
- Event driven strategies
- Merger arbitrage
- Distressed securities
- Regulation D
- Global macro strategies
- Managed futures
- Systematic strategies
- Discretionary strategies
- Risk perspective of hedge funds strategies
- The due diligence process
- Case study: analysis of a hedge fund and assessing its suitability for a pension fund
Day 3
Funds of hedge funds
- Industry overview
- Portfolio management strategies
- Style risks and diversification – the selection of strategy sectors
- The due diligence process – funds of hedge funds (applied example)
- Defining and managing portfolio risk
- Transparency (emerging regulatory trends)
- Active risk management and liquidity concerns
Portfolio of hedge funds – style drifts
- Definition and importance
- Detection, monitoring and control
- Performance attribution and risk exposure
- Peer Group analysis
- Appled examples
Operational risk management
- Importance
- Approach
- Operational risk framework
- Reporting and audit
- Key risk indicators
- Operational risk capital – can funds learn from banks?
Course summary and close
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Andre Horovitz
In over 20 years of financial services experience, Andre Horovitz has gained insights into industry best practices of some of the leading financial institutions in the world.
Andre started his banking career at Lehman Brothers as an Investment Banking Associate in 1988. He was responsible for pricing, developing hedging strategies and marketing exotic interest rate derivatives.
He has subsequently held senior executive positions at Oliver, Wyman & Co., Commerzbank, HVB Group (currently part of Unicredit), Erste Bank, Credit Suisse and Nagler & Company.
At Erste Bank and Credit Suisse, Andre held the positions of Chief Risk Officer and was a member of the top management committees of the respective institutions.
He is a frequent speaker at various risk management conferences and a contributor to various industry journals. He has held teaching assignments in financial risk management at the Technical Universities of Munich and Vienna.
Andre has been training banking executives for over 8 years via engagements with prestigious organisations and has lectured on a variety of risk management related topics at all levels (introductory to advanced). His areas of expertise cover all classes of financial risk management, including the important link to overall institutional strategy.
As an instructor, he is known for combining the theoretical underpinnings of financial risk management methods with real life practical case studies drawn from his working experience as a risk management executive. He likes to motivate course attendees to develop practical and implementable solutions to problems via practical case studies.
Andre holds a Diploma in Hydraulics Engineering from the Technical University of Bucharest and an MBA in Finance from New York University´s Stern School of Business. He is a Licensed Professional Engineer in New Jersey and Michigan, a Registered Securities Representative in New York and a GARP (“Global Association of Risk Professional”) certified Financial Risk Manager (“FRM®”).
Courses run by this instructor
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4-7 Jun 2012 (Paris, France)
19-22 Nov 2012 (Paris, France)
A 4-day expert emerging market risk analysis training course designed to equip delegates with the skills to analyse and mitigate country risk. Including techniques for the analysis of financial institutions in emerging markets.
2-6 Jul 2012 (Geneva, Switzerland)
As a result of the recent banking crisis in the West, the Accord has evolved into what was called Basel II.5 and is now called Basel III. This intensive, 5-day course will discuss, in detail, the significant changes to the Accord, and how they will impact on the business model of your bank.
7-9 Mar 2012 (Paris, France)
7-9 Nov 2012 (Paris, France)
A 3-day, highly practical course which provides a working knowledge of how unit trusts, mutual funds, pensions funds and hedge funds are constructed, invested, managed and administered.
20-22 Mar 2012 (Amsterdam, Netherlands)
18-20 Sep 2012 (Amsterdam, Netherlands)
A 3-day intensive training course featuring the uses, benefits, and advantages of credit and political risk insurance. The course places great reliance on practical work including case studies, which will point out the importance of detail in the whole area of credit experience.
9-11 May 2012 (Paris, France)
10-12 Oct 2012 (Paris, France)
A 3-day practical financial training course designed to give a thorough understanding of the key techniques used in performance measurement. This financial training course ranges from basic return calculation, risk-adjusted performance measurement, achieving GIPS® compliance to advanced multi-currency, multi-period attribution techniques.
10-13 Jul 2012 (Paris, France)
11-14 Dec 2012 (Paris, France)
A unique, 4-day training workshop addressing the fundamental causes of risk and providing delegate with a simple, systematic control and management programme to achieve control.
19-21 Mar 2012 (Paris, France)
15-17 Oct 2012 (Paris, France)
A 3-day, comprehensive course to help delegates understand the complex world of Pension Investment Strategy with specific reference to areas such as the global pensions crisis, the challenge to the cult of the equity, the role and purpose of pension funds and measuring and modelling a pension liability.
13-15 Mar 2012 (Paris, France)
This three-day course is designed to give participants a thorough understanding of current best practices and enable them to take with them possible means of enhancing processes and methods in their own institutions.
24-27 Apr 2012 (Frankfurt, Germany)
19-22 Nov 2012 (Frankfurt, Germany)
This 4-day course reviews credit models as implemented in major financial institutions while pointing to significant improvements made in light of the financial crisis.
10-12 Dec 2012 (Paris, France)
Value-at-Risk is the accepted methodology for assessing risk worldwide. This course will give you a thorough understanding of VaR, and how it fits it with other popular methodologies for market, liquidity, credit and operational risk. Dr. Flavell will show you how to use VaR for reporting purposes and for the setting of risk appetite.
Other topics of discussion include VaR-related lessons from the economic crisis and VaR stress testing (recently introduced by the Basel Accord).
2-4 Jul 2012 (Paris, France)
5-7 Nov 2012 (Paris, France)
The primary purpose of this intensive 3-day course is to provide an introduction to how sovereign risk can be assessed, predicted and sometimes mitigated. The programme uses a wide range of case studies of sovereign crises, from the 1990s (Asia, Argentina, Russia etc), through to the more recent crises (in parts of Western, Central and Eastern Europe, Dubai etc) to illustrate how key macro-economic, indebtedness and other indicators can be used to assess and predict
changes in sovereign credit profiles.
20-23 Feb 2012 (Paris, France)
This interactive four day training course will help delegates to find the most efficient ways to control credit losses and to identify opportunities to generate new business.
24-27 Sep 2012 (Prague, Czech Republic)
This interactive 4-day training course will help delegates to find the most efficient ways to control credit losses and to identify opportunities to generate new business.
5-8 Mar 2012 (Istanbul, Turkey)
This intensive, 4-day course gives delegates a high-level overview of modern risk management, including a breakdown of the new Accord and a comparison with the old one.
15-18 Oct 2012 (Paris, France)
This 4-day program will explore ERM frameworks, identifying the weaknesses in risk management programs and focusing on strenghts. Basel II and Basel III will be presented, along with the framework they provide.
23-26 Apr 2012 (Istanbul, Turkey)
23-25 Apr 2012 (Amsterdam, Netherlands)
A new market emerges from the ashes of the old.
This course has now expired please email us to find out when the course will next be running.