Presented By: Emilian Belev. Head Enterprise Risk Analytics, Northfield
Date: Tuesday, May 29, 2018
Time: 10:00 - 11:00 am EDT
Session Length: 60 minutes
About This webinar
The asset management industry has long been endowed with optimization tools that source their roots in Modern Portfolio Theory which lets risk factors drive returns in a fine-tuned fashion. Banks and other financial institutions whose direct revenue driver is not necessarily AUM, on the other hand, have historically considered risk mostly from the perspective of the binary dimensions “solvent” (or not) and “regulation compliant” (or not). Due to this assigned role, risk has been able to demonstrate its value only under doomsday scenarios or after successful rounds of regulatory review, but not explicitly in the bottom line of a non-eventful period’s profit report. This has allowed politically misinformed language to build up in that space which equates the risk function to increased business cost and impediment to growth, and not to an opportunity.
This presentation dispels this erroneous notion that is harmful to an organization’s profitability. It further unveils a new framework that is based on award winning work that offers a clear, rigorous, and effective method to optimization of risk adjusted returns that will give risk managers the tools to be the stars of their own show. The approach applies equally well to an asset manager’s portfolio, as well as to a bank’s trading or banking book, incorporating distributional moments of all orders while adhering to a preference function that is close to heart to both bankers and money managers. As being distinct from the commonly assumed exponential utility form, it offers a viable alternative that can replace, where the latter is not applicable, or complement, conventional MVO optimization results. Capturing explicitly the effect of leverage, it is also an attractive framework for hedge fund managers.
Sustaining Member $Free | Contributing Member $Free | Non-Member $75
About Our Expert
Emilian Belev, CFA, leads research and development at Northfield's Enterprise Risk Analytics and has done so for more than a decade. The range of models under his responsibility includes equity and fixed income, currency, interest rate, and credit derivatives, structured products, directly owned real estate, private equity and infrastructure. Emilian is also responsible for designing an integrated framework for all asset classes to be analyzed in a coherent, accurate, and economically intuitive fashion.
Continuing Risk Learning Credits: 1
PRMIA Continuing Risk Learning (CRL) programs provide you with the opportunity to formally recognize your professional development, documenting your evolution as a risk professional. Employers can see that you are not static, making you a highly valued, dynamic, and desirable employee. The CRL program is open to all Contributing, Sustaining, and Risk Leader members, providing a convenient and easily accessible way to submit, manage, track and document your activities online through the PRMIA CRL Center. To request CRL credits, please email email@example.com.
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