Webcast: Risk Forecasting in Uncertain Times

Join us for a brief webcast in which you'll hear from FactSet's Steve Greiner, the Director of Portfolio Risk Research.

Dr. Greiner will discuss how the current situation in the Eurozone impacts currency risk for companies:

• How currency risk can increase in tumult-afflicted GIIPS-country companies
• Options for measuring and dealing with portfolio risk in multi-currency and Eurozone scenarios
• Perspectives on risk estimation and stress testing
   

Full Abstract:
With the current situation in the Eurozone combined with the increasing percentage of revenue coming from overseas among the largest stocks in the Global S&P 100, FTSE 100, and S&P 500, there is a simultaneous increase in currency risk for many companies. This trend translates into increasing currency risk for asset managers also, and one example concerns the increased risk for GIIPS-country companies. For example, suppose you are a publically-traded importer of German goods located in Greece and you find your stock trading in Drachmas, while your debt is most probably still denominated in Euros. In this scenario, the Drachma would be devaluing relative to the Euro, and you’re going to have to pay more for the German import items, while your debt service costs are going up.  This means business risks and total risks are increasing because there is a new currency exposure present. This increased volatility should result in increasing market risk and increasing tracking error to one’s portfolio. We’ll examine options for measuring and dealing with these kinds of risks in one’s portfolio and offer a perspective on global risk estimation and stress testing.