Risk Management in Asset Management companies

Manage financial risks for third parties or internally

Course objectives

  • Grasp the reality of risk for third-party entities or internal asset management
  • Understand technics of risk measure and management
  • Master pertinent indicators mechanisms and sensitivities

Understand and measure financial markets risks

  • Introduction: Ex-post vs Ex-ante measures
    • Ex-post measures: Volatility, Tracking Error, etc.
    • Risk: Ex-ante concept
    • Risk and performance measure
    • Robustness
  • Risk models
    • Markowitz and diversification
    • Linear regression model
    • Regression multi-factor model
    • Correlation model and variance-covariance matrix
    • APT model

Excel Case Study: Volatility calculation, systematic and specific volatility

  • Value-at-Risk
    • Concept / Probability distribution
    • Historical / Parametric
    • The limits of back-testing

Excel Case Study: Monte Carlo distribution calculation and VaR distribution function. Monte Carlo VaR tool

  • Stress Testing:
    • Simulation and stress testing
    • Return Based and Bond Scenario Analysis

Case Study

Risk Management in an Asset Management company

  • Risk management for Third party entities
    • Investment Management mandate: Expected return, risk profile and investment horizon
    • Performance analysis: risk / return

Case Study: Performance attribution and risk enveloppe

  • Management process
    • Benchmarked investments and relative risk
      • Tracking Error
      • Tracking at Risk
    • Risk budgeting : allocation and selection
    • Allocation: Efficient frontier ER
    • Selection: Stock-picking, conviction and risk contribution

Case Study:

- Model portfolio construction

- Efficient Frontier Tool

  • Risk Control
    • Quantitative analysis
    • Qualitative analysis
    • Backtesting: Ex-post control and performance attribution

Case Study

- Portfolio analysis

- Balanced portfolio analyzing tool

Focus: Fund analysis and selection

François Chauvet

François is CEO of APTimum Conseil and Chief Executive Officer in charge of Wealth-Heritage Finance since 2010. Civil Engineer of Roads & Bridges, he provides specialized courses on risk measures in portfolio management at several universities.

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