Managing Risk in Asset Management

Industry events and regulatory developments have combined to force directors and senior managers of asset management companies to design, document and implement comprehensive risk frameworks, which demonstrate ownership, responsibility and control of all aspects of their business. This course will review these developments, identify asset management risks, review appropriate risk frameworks and enable you to return to your work with the necessary skills to develop and implement risk management processes and techniques appropriate to your circumstances. Featuring: Identification of risks in asset management Defining acceptable risk levels Risk and compliance reporting for funds Role of asset allocation Portfolio risk management Overview of financial derivatives Role of derivatives hedging Role of portfolio insurance strategies Risk management for hedge funds Importance of operational risk Scenario analysis in risk management Who should attend? The course will be of value to professionals in the following areas: Directors and senior managers of asset management companies Risk managers Compliance officers Pension fund managers/trustees Institutional investors Corporate treasurers Regulators and lawyers Portfolio managers Directors and senior managers of insurance companies Private investors The course will be practical and will allow for the maximum interaction between faculty and participants. There will be numerous exercises and case studies based on real world examples.
Day 1 Managing risks in asset management - overview Identification of risks in asset management The corporate governance and risk management framework Market and credit risk - absolute and relative Operational risk Other risks Defining acceptable risk levels Case study: You will complete exercises to assess the subjective nature of risk appetite. Risk and compliance reporting for funds Regulation and reputational risks Role of the regulator Regulatory framework Typical reporting requirements Compliance issues Asset allocation Role of asset allocation Global versus tactical asset allocation Optimisation approaches Asset allocation and portfolio insurance Implementing asset allocation analysis Role of currency decisions Case study: You will analyse market data to understand asset allocation decisions Day 2 Portfolio risk management Where does performance measurement and attribution sit in this? What is the right Risk Management process? How important is data? VaR versus factor models Tracking error, sharp and information ratios, other risk measures Case study: You will analyse equity and fixed income portfolios using attribution and risk reports to evaluate the portfolio managers and assess the products suitability for inclusion in a client portfolio. Overview of financial derivatives Forwards and futures Interest, currency and equity swaps Financial options Credit derivatives The use of derivatives in funds Controlling the use of derivatives in funds Portfolio risk management using derivative Role of derivatives hedging Use of futures in asset allocation Option-related hedging strategies Role of portfolio insurance strategies Risk management of a fund including derivatives Risks of structured products Day 3 Risk management for hedge funds An overview of hedge fund types and characteristics What are the risks in investing in hedge funds? What are the differences between in-house and 3rd party hedge fund holdings? What should you ask your hedge fund manager? The due diligence process for hedge fund investing Case study: You will analyse a hedge fund product to establish its suitability for a pension fund investor. Operational risk management Why is operational risk important? Why is operational risk different? How should operational risk management be approached? An operational risk framework What reporting should be produced, for whom? What guidance are regulators providing? How is operational risk capital calculated? Scenario analysis in risk management Where is scenario analysis appropriate? How do you pick appropriate scenarios? How is scenario analysis applied to market and credit risk? How is scenario analysis applied to operational risk? Scenario analysis as part of a wider risk framework Case study: You will devise appropriate scenarios for the operational risk framework of an investment bank. Course summary and close