Analysing Sovereign Risk for Portfolio Management Decisions

 Seminar Instructors:

•Felix Goltz, Head of Applied Research, EDHEC-Risk Institute 
•Fahd Rachidy, Senior Quantitative Financial Analyst, EDHEC-Risk Institute 
•Thierry Roncalli, Head of Research and Development at Lyxor Asset Management
Key Learning Benefits:
The seminar will enable participants to:
 
•Review the history of sovereign risk and its recent developments and understand how sovereign risk impacts markets; discover the new forms of sovereign bond and equity indices.
 
•Understand the limits of rating agencies’ approach to assess default risk of sovereign issuers and find out how to use market-based information to assess sovereign credit risk.
 
•Analyse the sovereign risk exposure of both bond and equity portfolios and find out if alternative weighting schemes provide better information on sovereign risk exposures.
 
•Learn how to manage sovereign risk through a risk-budgeting approach.
 
•Find out if standard country classification approaches of equity indices can be improved by taking into account sovereign risk exposure, comparing geographical sovereign risk exposure versus place of listing.
 
•Discover if standard equity factor models such as the Fama-French model can be improved by taking into account the relevant sovereign risk factor and assess the impact of using a regional factor versus a global factor.
 
•Learn the state-of-the-art techniques in constructing bond and equity portfolios with controlled sovereign risk exposure and learn about the differences in cross-sectional exposure to sovereign risk; find out how to actively manage the sovereign risk exposure of a global equity portfolio.
 
Further information and registration:
 
For further information about the event please visit our webpage
 
To book a seat, please visit our online store, or contact Mélanie Ruiz at EXECeducation@edhec-risk.com or on: +33 493-187-819