Risk Roadshow, Hosted by FactSet

Effective Risk Management Solutions with the Industry’s Best Leaders

Join FactSet and the world's leading risk model providers for a free seminar this March. 

At this seminar, you'll hear presentations from the risk providers as well as learn from Steven Greiner, FactSet's Director of Portfolio Risk Research on strategies for forecasting and managing risk in today's global economy.

Following the presentations, FactSet will moderate a panel session providing industry leaders from Axioma, R-Squared, MSCI, SunGard APT, and Northfield the opportunity to debate current topics in risk management. Don’t miss your chance to join in the discussion.

Seminar Locations

Registration for all FactSet 2012 Risk events is now closed.

Speakers and Topics

Risk Forecasting in Uncertain Times
Steven P. Greiner, Ph.D, Director of Portfolio Risk Research, FactSet

As the Eurozone crisis drives investment overseas, currency exposure is increasing total risk and tracking errors in the portfolios of asset managers, especially in the GIPS countries. In this session, Steven will discuss how you can measure currency risk, minimize total risk and gain a perspective of your portfolio's total exposure with stress testing.

Steven P. Greiner, Ph.D.was the senior quantitative strategist and portfolio manager for Allegiant Asset Management (now wholly owned by PNC Capital Advisors) where he was a member of its Investment Committee. Prior to this, he served as senior quantitative strategist for large capitalization investments at Harris Investment Management. He has over 20 years of quantitative and modeling experience beginning in the sciences, industry, and finance. Currently Steven is the Director of Risk Research for FactSet Research Systems.

Steven received his BS in mathematics and chemistry from the University of Buffalo and his MS and PhD in physical chemistry from the University of Rochester, and attained postdoctoral experience from the Free University Berlin, Department of Physics. Steven is the author of several scientific publications and the recent book by Wiley, "Ben Graham was a Quant", April 2011. He speaks at many conferences and is a frequent writer of FactSet's Risk Blog.

Reverse Stress Testing: Staring into the Abyss
Dr. Laurence Wormald, Head of Research, SunGard APT

Laurence will discuss the latest research and insights on the new reverse stress-testing approach that enables firms to identify worst case scenarios for their portfolios, and explain how this approach complements your regular stress testing and extreme events analysis. It is essential for firms to identify which scenarios would lead to the worst losses and use this information to become better investors. He will demonstrate how this Reverse Stress Testing technique provides useful insights into the risks of Asian markets.

• How can reverse stress testing help investors understand investment risk better?
• Under what circumstances will a portfolio's performance be worst?
• What characterizes the behaviour of factors in the loss tail of the distribution?
• Do certain factors come more to the fore as we explore the loss tail of the distribution?

Dr. Laurence Wormald is Head of Research for SunGard APT. In this role Laurence is responsible for overseeing the research team and its development of innovative risk solutions for APT's perse customer base. Prior to joining SunGard, Laurence was the chief risk officer at a business unit of Deutsche Bank Global Markets in London. Laurence had previously held a number of risk director and research director positions at various financial modeling firms, and he has also acted as a consultant to major financial and government institutions including the Monetary Analysis Area at the Bank of England and the Research Directorate-General at the ECB. Laurence is currently chair of the City Associates Board at the Centre for Computational Finance and Economic Agents at the University of Essex, and chair of the Prize Committee of the Investment Research organization Inquire UK.

Laurence holds an MA from Cambridge University and a PhD in theoretical physics from University of California, Santa Cruz. He has published numerous academic papers and book chapters on risk and quantitative finance.

Investment Insight from Axioma - Guidelines for Surviving the Correlation Rollercoaster, Sebastian Ceria, Chief Executive Officer, Olivier d'Assier, Managing Director, Asia Pacific, Scott Hamilton, Axioma Inc

Axioma's global, multiple horizon, daily risk models provide unique insight into current investment conditions. In this talk, we will examine how the investment landscape is changing and what is driving these changes. Our aim is to paint a comprehensive picture of the state of the markets for practitioners and risk managers.

Olivier d'Assier is Managing Director, Asia Pacific for Axioma Inc. He is responsible for the performance, strategy, and commercial success of Axioma's operations in Asia Pacific and is a member of the firm's global Executive Committee. Olivier joined Axioma in 2006, oversaw the opening of offices in Singapore, Hong Kong, London, Geneva, and Sydney and brought Axioma's key innovations to the Asia Pacific marketplace via the development of Asian-centric products.

Before joining Axioma, Olivier spent seven years at Barra Inc. as VP for Asia Pacific and President of Barra Japan. He joined Barra in 1998 and was a member of the firm's executive and steering committees during his tenure. Subsequent to the acquisition by Morgan Stanley in 2004, he became Executive Director for Asia Pacific for the combined MSCI-Barra until his departure from the firm in 2005.

Prior to managing quantitative solutions providers, Olivier spent nine years in investment banking as a sales trader in Europe and Asia for Nikko Securities and SMI Securities. During that time, he was a heavy user of quantitative technology in his daily workflow. Olivier is an experienced writer and public speaker and a regular guest on CNBC and Bloomberg TV.

Scott Hamilton started his working career in 1993 in the Quantitative Applications Division at Macquarie Bank. In this role he worked on quantitative product implementation across a wide range of businesses including Fixed Interest, Capital Markets, Futures, Equity derivatives, Currency Hedging and Investment Management. In 2005 Scott moved to the Equities Broking business as quantitative analyst. In this role he conducted applied research into investment strategies in local and international markets with a focus on portfolio construction. His last few years in that role were devoted to developing structured delta-one products to capture alpha opportunities.

In his current role at Axioma Scott is Director of Client Services in the new Axioma Australia office. Scott works with local clients on risk and portfolio construction, and also devotes a significant proportion of his time to applied research in local markets.

Scott has an honours degree in Computer Science and Applied Maths, and a Master’s degree in Applied Finance, both from Macquarie University.

Using Cross-Asset Class Information to Improve Portfolio Risk Estimation
Nick Wade, Marketing Director, Asia, Northfield

There are obvious relationships between the various securities of a given firm that impact our expectations of risk.  For example, if fixed income investors expect a corporate bond of a company to default, there must be a related bankruptcy event that would negatively impact shareholders in that firm. In this presentation, Nick will describe how to use data from bond and option markets to improve risk estimation for equity portfolios, and how to use information from the equity markets to improve estimation of credit risk in fixed income securities.  The goal of the process is to create holistic risk estimation where all expectations of risk are mutually consistent across the entire capital structure of a firm, and related derivatives.

Since 2003 Nick has been the Marketing Director for Asia. He is responsible for managing Northfield's sales and marketing operations and client relationships in the region and plays a key role in many global consulting projects. Northfield's business in Asia has averaged 50% growth per annum over the last 7 years, and managed double-digit growth throughout the global financial crisis.

Previously with Northfield, Nick has been responsible for, or involved with, researching and developing many of our new analytical models, including the US Short-Term Model, the “Everything Everywhere ”(EE) risk model, and Northfield's flagship multi asset class enterprise risk model. Prior to joining Northfield, Nick designed risk management systems with AMS UK Ltd., and was a Quantitative Analyst with Grantham, Mayo, van Otterloo & Co.. Nick holds an honors degree in theoretical physics from the University of York, England, and an MBA from Northeastern University, Boston USA.

Innovations in Equity Factor Modeling – Improvements for Portfolio Construction, Risk Control and Attribution

Glen Gee, Executive Director - Australia Client Coverage, Neil Gilfedder, Managing Director - Research, Martin Soboszek, Vice President - Client Coverage, MSCI

MSCI will discuss the application of its latest research into the challenges portfolio managers face when optimizing a portfolio with a risk model, as well as how its latest innovations in methodology can enhance the portfolio management process and insight in a volatile world. We will look at how the risk environment has evolved, what risk management means now, and how using a risk model that combines well-grounded advances in methodology with thoroughly researched risk factors can help improve portfolio construction through an optimizer as well as offer better risk and performance insight and control.

Glen Gee is currently Executive Director, Client Coverage at MSCI in Sydney, with specific responsibility for the firms banking and broker/dealer client base. Prior to joining MSCI, Mr Gee was Head of Electronic Trading Services at Minc Financial Services in Sydney. He was responsible for all aspects of Minc's electronic business including their regional pre and post trade Transaction Cost Analysis business, EMS, DMA and custom algorithm business. Before joining Minc, Mr Gee spent nine years at Investment Technology Group (ITG), a specialized brokerage and financial technology company, in Tokyo, Hong Kong and Australia. His most recent role at ITG was Head of Equities – Japan. Prior to that, he was based in Hong Kong with ITG as the Asia Pacific Head of Analytical Products and Research, where he oversaw the development of ITG's pre- and post-trade analysis tools, TCA® and ITG Logic™. Prior to joining ITG, Mr Gee worked as an Equity Portfolio Manager at BGI Australia and also held positions at ABN Amro Securities and ANZ Securities.

Mr Gee holds B Ec and M App Fin degrees from Macquarie University (Australia) and an MBA from the Australian Graduate School of Management. 

Neil Gilfedder is the head of MSCI’s Analytic Applied Research group.  Neil initially joined Barra in June 1998 and has held a number of roles, including client support consultant, product manager for research, manager of the flat file data business, and business manager of the Analytic Research department. He also worked in Knowledge Management at Barclays Global Investors in San Francisco.  He has a BA in Philosophy and Economics from the University of York and an MA in Economics from Stanford University, and is a CFA charter holder.

Martin Soboszek is Vice President at MSCI, based in Tokyo. He is responsible for both pre- and post-sales support for over forty client organizations, primarily in Japan and Korea. Mr Soboszek joined Barra’s Berkeley office in 2002 as a client support analyst. After the merger with MSCI in 2004, Martin transferred to MSCI Tokyo where he has held multiple positions including Barra Sales and Support Consultant.

Mr Soboszek obtained the Charted Financial Analyst designation in 2007 and the Financial Risk Manager designation in 2009.

The Structure of Equity Risk Models
Jason MacQueen, Managing Director, R-Squared

There are a number of different ways to build equity risk models, and some are demonstrably better than others. This talk will review the three standard approaches, and explain why some methods are better than others, and then describe a double hybrid approach that combines the best features of each approach.
 
Far too many users of risk models judge their performance by simply comparing an ex ante forecast of tracking error with an ex post result, not realising that this is comparing apples and oranges. The talk will therefore conclude by briefly discussing three ways in which risk models can be legitimately tested, and giving some examples.
 

Jason currently works with R-Squared, an investment consulting firm that specialises in developing Customised Hybrid Risk Models and Stock Selection Models for institutional investors. R-Squared has also developed a Risk Management Overlay system which can be used to eliminate the unwanted risks in actively-managed funds and enhance their returns.

Jason was educated at Oxford and London Universities, where he read Mathematics and Theoretical Physics. He is a Visiting Professor at Tokyo University's Center for Advanced Research in Finance, as well as being an Honorary Lecturer in Finance at Lancaster University.

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