Pre-conference workshop | Performance Measurement, Investment Risk & Attribution UK | SUPRA @PRAnetwork
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  • Workshops: 25th September 2012 | London, UK

The Performance & Risk Association’s  pre-conference workshop takes place on
25th September, 09.00 – 17.00. It is approved by the CFA Institute so you will receive 6 credits for attending the course. It can be booked alongside the conference or separately.

Investment Risk Analytics: Concepts & Applications

Content & format

In this intense one-day course, delegates will gain a deeper understanding for the traditional investment risk concepts used in investment management and extensions introduced in recent years, many of them being reactions to specific issues experienced by investors and investment managers in the Financial Crisis. The course does provide enough details in order to gain a technical understanding, but the focus is clearly on concepts available in the modelling of investment risk. The concepts presented were selected with regard to application and implementation in real-world investment processes. We believe that investment risk modelling, measurement and management are not art for art’s sake, but tools for investors and investment management professionals. The course materials include power point slides that are self-explanatory, not just bullet points. Delegates will also receive all spreadsheet examples discussed during the course, some of the including VBA code that can be used as a basis for more advanced applications. As most delegates will be (investment risk practitioners) with diverse backgrounds, relevant case studies will evolve naturally and a lively exchange of ideas and experiences is guaranteed.

This course is for practitioners and is not mathematical but is a complete discussion of highly complex and technical topics. The focus is on application: learn how to put results from the research frontier into practice with MS Excel.

Course programme

  • Overview of investment risk analytics: A fresh perspective on established concepts such as volatility and an introduction to modern risk concepts like conditional value-at-risk, drawdown-at-risk, lower partial moments, copulas and non-normal distribution modelling.
  • Portfolio risk analysis: Risk contributions from asset classes and single securities. Risk attribution: establishing the link between overall portfolio risk and investment decisions. Applying Brinson to risk, decomposing risk-adjusted performance.
  • Risk analysis in practice: Model risk and its management. Stress testing and scenario analysis for investment portfolios. Risk dynamics, handling extremes.
  • Investment risk in context: The failure of risk management – post-crisis investment risk analytics. Agency and behavioural aspects in risk management for investment managers and their clients. The perceived failure of diversification. Overview of risk-based investment strategies.

Who should attend?

The course is not only for specialists but for a wider audience including investment managers, asset management executives of all levels, institutional investors and research analysts. The goal of the course is to introduce the audience to concepts beyond traditional quantitative techniques. Therefore, a basic understanding of elementary statistics (especially linear regression, hypotheses testing, descriptive statistics and similar) and modern portfolio theory (CAPM, mean/variance portfolio analysis) is required.

The trainer

Andreas Steiner is an independent consultant specializing in Investment Performance and Risk Management. Andreas is also an external lecturer at the Zurich University of Applied Sciences, where he gives courses covering topics in Portfolio Theory, Performance Analysis, International Investing and Behavioural Finance. With more than 10 years working experience in Investment Management Andreas has held various Performance and Risk-related roles at banks and fund companies including being Head of Investment Risk Management at a mid-sized private bank in Switzerland. Andreas holds a master’s degree magna cum laude in Economics from the University of Zurich with specializations in Monetary Economics and Financial Markets. Additionally, Andreas is a member of various industry associations related to Investment Performance and Risk.