Tail Risk Management for Portfolios
Cyril Levy-Marchal, Independent Consultant, former Head of Asia Pacific Equity Trading, J.P. Morgan
The recent succession of the Great Financial Crisis, the COVID-19 pandemic, and the war in Ukraine highlights the importance of tail risk for investment managers and the difficulty of predicting the frequency and magnitude of crises. How should investors structure their portfolios to reduce their exposure to outlier events? This SFI Master Class explores various approaches to measuring and hedging portfolio exposure to tail risk, with a focus on using derivatives.
Objectives
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Understand the impact of tail risk on portfolio returns.
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Understand option-implied tail risk.
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Discuss how to manage tail risk in theory.
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Explore practitioners' perspectives on historical tail risk scenarios and their effects on investment performance.
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Identify how to manage tail risk in practice, including opportunities and pitfalls.
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Assess whether hedging tail risk is optimal.
SFI Master Class Features and Target Audience
SFI Master Classes offer seasoned banking and finance professionals a unique opportunity to exchange knowledge and share their professional views with top-level academics and industry experts in an interactive learning environment. Master Classes incorporate hands-on group work and opportunities for discussion. An on-site networking event will follow the Master Class.
This particular Master Class is aimed at professionals in the financial industry who work in asset and wealth management. The event is also of interest to experts hailing from risk management or investment banking.
SAQ Recertification
This SFI Master Class is an acknowledged SAQ recertification measure and comprises four learning hours for the following SAQ profiles:
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Wealth Management Advisor CWMA
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Advisor Affluent Clients
This SFI Master Class covers the aspect "industry knowledge."
Late cancellations and no-shows
If you have registered for a Master Class but are unable to attend, we kindly ask that you inform us as soon as possible. Places are limited, and late cancellations and no-shows not only prevent those on the waiting list from attending, but also result in an inefficient allocation of valuable resources. Your cooperation in communicating any unexpected changes regarding your participation at this Master Class is greatly appreciated.