Analysing Sovereign Risk for Portfolio Management Decisions

Event : Analysing Sovereign Risk for Portfolio Management Decisions

Tue, 12/06/2012  
Conducted by : EDHEC-Risk
Contact : Mélanie Ruiz

 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
 
 
 


features
Special report
Cayman Islands Hedge Fund Services 2014

Cayman Islands Hedge Fund Services 2014

Fri, 19/12/2014 - 10:24

With service providers reporting growth in hybrid funds, funds for single investors and bespoke managed accounts, this report examines the regulations and new services being developed in Cayman to tackle the fast-changing offshore funds market... »

Article
Survey

Hedgeweek Global Awards 2015

Fri, 19/12/2014 - 09:11

Voting for the 6th edition of the Hedgeweek Global Awards is now open. The Awards will be presented at a lunch ceremony to be held in London. ... »

Special report
Hedge fund managed accounts 2014

Hedge fund managed accounts 2014

Tue, 09/12/2014 - 09:58

Read how managed accounts platforms are now catering to a wide spectrum of investor needs, from straightforward commingled funds to sophisticated infrastructure solutions for the largest institutional investors. And the rise of liquid alternatives means that onshore funds - UCITS, AIFs and '40 Act funds - are becoming just as popular as offshore funds... »

Article
Stack of US dollar bills

Global assets under management* of the private real estate industry have reached USD742bn, an all-time high for the industry, and up from USD697bn as of the end of 2013. Preqin’s Andrew Moylan takes a look at the latest stats on the industry. ... »

Article
S&P Capital IQ Special Report

In this report S&P Capital IQ examines how credit events can impact on the price of equities. The results are compelling. The report looks at the relationship between credit indicators and equity back-tested returns. ​ ... »

latestjobs
VP/SVP Credit Quant- NY- Investment Bank

Sun, 28 Dec 2014 00:00:00 GMT

Quantitative Research | Equity | New York

Sat, 27 Dec 2014 00:00:00 GMT

SVP Model Validation

Sat, 27 Dec 2014 00:00:00 GMT

events
2 weeks 1 day from now - New Orleans
3 weeks 3 days from now - Boston
3 weeks 3 days from now - New York
4 weeks 6 hours from now - New York
specialreports