Agenda

Daniel Pedersen, Sales Director, RiskMetrics Group

As the market risk of a pension plan comes under more scrutiny from sponsors, trustees and regulators, this session will review how the suite of RiskMetrics solutions can be utilised to aid with risk measurement, as well as risk management. A variety of asset classes and liabilities will be reviewed during this analysis, and attention will be paid to both theoretical and practical issues that may arise in such implementations.

Kaylash Patel, Head of Institutional Business Strategy, RiskMetrics Group

As more and more investors with fixed income portfolios wake up to the reality of defaults, in this session, we examine the implications for fixed income asset allocations. Traditionally, market risk in the form of interest rates has been the main driver of FI allocation decisions. However, credit risk in the form of defaults may have an even bigger impact on portfolios than previously realized. Investors therefore, need to take credit risk into consideration in making allocation decisions.

Chithra Krishnamurthi, Business Product Manager, RiskMetrics Group

Investors taking stakes in hedge funds do not always receive full transparency of the funds' exposures. One way to circumvent this is using statistical processes. In this talk, we will treat hedge fund returns as time series in order to capture the dynamics that we observe empirically. Through a backtesting exercise, we demonstrate the efficacy of the model, in particular the improvements it brings over the typical approaches in the hedge fund investment literature. Furthermore, our framework enables us to aggregate other asset classes. We will conclude with a live application of hedge funds mixed with traditional assets.

Stéphane Daul, Head of Insurance Business, RiskMetrics Group

The Equity Factor Model was designed to give investment management professionals a powerful tool to expose and manage portfolio risk. Here we give an overview of the methodology and how it fits into a full valuation framework. We also provide a case study on how this tool can be used to expose portfolio risk.

Brian Hunter, Senior Risk Analyst, RiskMetrics Group
Daniel Straumann, Senior Researcher, RiskMetrics Group

In the wake of the recent market turbulence, risk evaluation has been heavily criticized. A common remark is that VaR assumes a Gaussian distribution for the returns, whereas the market is fat tail. We review the evaluation of market risk, separating the fundamental aspects (that cannot be changed) from the practical implementation (that can be modified). Most of the criticisms target the implementation, and can be easily addressed.

Gilles Zumbach, Senior Researcher, RiskMetrics Group

Companies are typically adept at presenting a more favourable picture of financial health than may be warranted given the state of their underlying financials. In this session, we provide a brief overview of how a rigorous and critical analysis of a company's financial statements using forensic accounting techniques can help investors identify warning signs lurking within those financials. The session will showcase several examples where such techniques have helped our clients avoid investment pitfalls by acting as an early warnings indicator of operational deterioration and pre-announcements.

Niels Aalen, Global Head of Financial Research Analysis, RiskMetrics Group