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Register for our Risk Management for Hedge Funds seminar in Boston
Learn about the latest tools for VaR and stress testing at FactSet’s Risk Management for Hedge Funds seminar.
| What |
FactSet Sponsored Conference |
|---|---|
| When | 10 Sep 2008 10:00 - 13:00 |
| Where |
Harborside, State Room
Atop 60 State Street Boston, MA |
| Region(s) |
North America
|
| Add event to calendar |
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Join FactSet and Glyn Holton for a complimentary Risk Management for Hedge Funds seminar. Discover how to test your portfolios under a multitude of market conditions and gain additional insight into the inherent risks within your portfolio.
Glyn Holton, author of Value-at-Risk: Theory and Practice, will discuss how to sort through all the available information on Value-at-Risk and how to tell the important from the unimportant. During the day, you’ll also have the chance to network with experts in risk management and quantitative research while you learn to streamline your risk processes.
Agenda
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9:30-10:00 a.m. |
Registration |
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10:00-10:15 a.m. |
Risk for Hedge Funds, Daniel Satchkov, CFA Daniel Satchkov led the research and development of simulation risk measurement and stress testing techniques for FactSet’s Portfolio Analysis application. He will begin the day with a brief overview of the tools needed to efficiently manage risk for Hedge Funds. |
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10:15-11:15 a.m. |
Stress Testing: Black Swans or Shades of Grey? Daniel Satchkov, CFA The topic of extreme events is becoming ever more important for risk management. Stress testing is a technique that is explicitly designed to deal with extreme shocks; however, its methodology and place in the risk process is often unclear to risk managers. This presentation will attempt to clear up misunderstandings about stress tests and provide methodology for its incorporation into the risk process as a supplement to risk measures such as tracking error, VaR, and expected shortfall. |
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11:15 a.m.- |
How VaR Can Be Part of the Risk Management Process, Glyn Holton There is so much information out there on Value-at-Risk (VaR), but how do you sort the wheat from the chaff? In an engaging romp through the buzzwords of risk management, Glyn Holton explains normal market conditions, flaws in VaR, risk appetite, enterprise risk management, stress testing, component VaR, and much more. You will learn what is important—and what is not—for managing risk with VaR. |
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12:15 p.m. |
Buffet Lunch |
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12:30-1:00 p.m. |
Stress Testing and Monte Carlo Value-at-Risk Product Demonstration Learn how to further your risk analysis from where traditional risk models leave off. Calculate portfolio returns under many simulated scenarios and accurately analyze the portfolio's true VaR under different confidence intervals and over different time horizons with Monte Carlo Value-at-Risk. Use stress testing to apply a shock to individual factors, both inside or outside of the current risk model, to see what impact the shock could have on your portfolio. Find out how sensitive your portfolio is to different factor shocks. |
FactSet is registered with CFA Institute as an Approved Provider of continuing education programs. This program is eligible for two CE credit hours as granted by CFA Institute. If you are a CFA Institute member, CE credit for your participation in this program will be automatically recorded in your CE diary.
Glyn A. Holton is a financial author and consultant. He wrote Value-at-Risk: Theory and Practice, the first (and only) advanced text on value-at-risk. His groundbreaking paper Defining Risk explored the philosophical foundations of risk. More recently, his article Investor Suffrage Movement proposed a novel, market-based solution for the problem of corporate governance. Mr. Holton maintains a number of popular websites, including riskglossary.com, riskchat.com, riskbook.com, and GlynHolton.com. Prior to forming his consulting practice in May 1995, he worked as an actuary for Metropolitan Life. He was a vice president with Fidelity Investments, advising institutional clients on risk management and portfolio strategies. He also worked for the Bank of Boston, developing advanced analytics for quantifying the market and credit risk associated with the bank's trading activities.
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