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Crisis Risk And Return

Contact us if you need a description of this seminar in PDF format.

Seminar Description

In this seminar, we are discussing portfolio analytics in crisis situations. We are demonstrating how non-normal distributions and non-linear dependencies affect traditional analytical models used in performance and risk analysis as well as portfolio construction. We propose simple and practical extensions to handle extraordinary market situations. Besides quantitative methods, we also illustrate the importance of behavioral and institutional aspects and how qualitative enhancements can be used to make investment processes more robust.

Target Audience

Investment managers, research analysts, performance analysts, risk managers and institutional investors. Basic knowledge of qualitative and quantitative concepts in financial modeling is required.

What Makes This Event Different

The event is neither a conference nor an solutions exhibition. As the number of participants is limited to 10 the seminar will be conducted in personal atmosphere, allowing interaction with the speaker and one another. Participants can submit data sets or specific questions four weeks before the workshop and if suitable, some of these “real world” inputs will be used as illustrations, examples or case studies during the presentation.

Location

Downtown Zurich, details will be communicated approximatively 2 weeks before the event.

If the number of participants is small, then the event will take place in our office in Hinwil (approx. 30 minutes from Zurich).

Schedule

09:00am Welcome Coffee
09:30am Start Presentation
12:00am Sandwich Lunch
03:00pm Coffee Break
05:30pm Finish

Key Topics

  • Anatomy of a Crisis, Stylized Empirical Facts
  • Vulnerability of Economics and Modern Portfolio Theory
  • Non-Normalities: Swans and Dragons, Fat Tails, Skewness, Extreme Value Theory, Volatility Clustering, GARCH modeling
  • Non-Linear Dependence: Copulas, Contagnion, Systemic Risk
  • Portfolio Construction Beyond Markowitz and Statistcal Issues
  • Realistic Risk Preferences of Market Participants: The Psychological and Biological Dimension
  • The Failure of Risk Management
  • The Institutional Dimension: Agency Effects, Incentives
  • Regimes, Scenario Analysis, Stress Testing and Reverse Stress Testing
  • Model Risk Management

Special Features

  • Binder with slides discussed, including a CD-ROM with MS Excel illustrations
  • Case studies and data submitted prior to the workshop will be used as examples
  • Personal atmosphere due to maximum of 10 participants

Fee

Zurich: 600 CHF

The fee includes snacks, refreshments, sandwich lunch and all seminar materials.

Registration

Please contact us by email in order to receive the registration form.