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Analysing sovereign risk for portfolio management decisions

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London, 12-13 June, 2012 – A seminar providing an overview of the historical background and the recent trends of sovereign risks, as well as an analysis of sovereign risk in bond portfolios, and discussing both the assessment and the monitoring of sovereign risk in a global equity portfolio.

Drawing on the expertise developed at the EDHEC-Risk Institute, the first part of the seminar will provide participants with an overview of the historical background and the recent trends of sovereign risks, as well as an analysis of sovereign risk in bond portfolios. The second part of the seminar discusses both the assessment and the monitoring of sovereign risk in a global equity portfolio.

The programme is intended for investment management professionals who advise on or participate in the design and implementation of portfolio construction models, and for sell-side practitioners who develop new portfolio construction solutions for investors. The seminar will also be insightful for investment professionals who analyse or decide on the adoption of appropriate model portfolios or benchmarks for bond and equity investments or who are interested in customising their strategic benchmark.

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 click here

To book a seat, please visit our online store: storelondon.edhec-risk.com or contact Mélanie Ruiz at EXECeducation@edhec-risk.com or on: +33 493-187-819

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