RISK MANAGEMENT & CRASH PREVENTION

CUT YOUR PORTFOLIO'S DRAWDOWN

  • Investors behave irrationally and withdraw money in the worst moments during market crashes.
  • This exacerbates the difficulties of institutional investors during these challenging times.
  • Minimizing the risk of being caught by a market crash is the key to retaining investors and the related management fees.
  •  The corresponding reduction in volatility boosts the Sharpe ratio and attracts new investors.
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OUR MODELS

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  • Value at Risk and Expected Shortfall estimated with copulas and deep neural networks
  • Detailed Stress Testing and planning.
  • Factorial risk decomposition.
  • Volatility filters extrapolated from equity options
  • Early warning signals.
  • Volatility forecasting

SELECTED REFERENCES

  • Barone-Adesi Giovanni, “Multi-Factor Analysis of Bond Portfolios: Critical Implications for Hedging and Investing”, Palgrave McMillan, 2015
  • Christoffersen Peter, “Elements of Financial Risk Management”,  Academic Press 2016.
  •  Fouque Jean-Pierre, and  Langsam Joseph A., “Handbook of Systemic Risk”, Cambridge University Press, 2013 
  • Resti Andrea, Sironi Andrea, ” Risk Management and Shareholder Value in Banking: From Risk Measurement Models to Capital Allocation Policies”, Wiley, 2007 
  • Spiznagel Mark, and Taleb Nassim, “Safe Haven: investing for Financial Storm”, Wiley, 2021