This workshop guides participants as they develop a deeper and intuitive understanding of risk as measured by standard deviation, tracking error, VaR, and expected shortfall (CVaR). Using these as foundation, we look at how you can anticipate the impact of a trade on your risk profile, and use that to guide your judgment in adjusting your portfolio to get the highest return from your risk allocation. Learn how investment limits can be incorporated into portfolio optimization to assist you in portfolio construction. Course involves developing models in Excel, and studying portfolios using a tool called Portfolio Pilot. Breakfast and lunch are included each day. RiskMetrics Group can provide laptops for workshop modeling but attendees are welcome to bring their own.
Agenda
Introduction
Risk Measures (Standard deviation, tracking error, VaR, CVaR)
Market Modeling (Historical Simulation, normal and fat-tailed Monte Carlo)
Stress Testing (historical, simple, and predictive)
Incorporating front office return forecasts
Investments, redemptions, and rebalancing
Efficient portfolios with limits and alternative risk measures
Portfolio optimization (e.g. minimize risk or maximize Sharpe ratio given limits)
Benchmarking (with application to optimizing tracking error)
Factor models with factor exposure limits
Course Login
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