London Programme - Day 1
08:30 Registration and coffee
09:00 IDENTIFYING YOUR CONCENTRATION RISK EXPOSURE
- Sensitivity analysis
- Determining correlations between the various components of the portfolio
- Understanding wrong way risk and how to control the conditional distribution
- How to deal with little or no risk disclosure: hedge funds as an example
Tutor
Anders Wulff-Andersen, Executive Director, UBS INVESTMENT BANK
10:30 Morning break
11:00 DERIVATIVES AND COUNTERPARTY CREDIT RISK PERSPECTIVE
- How to diversify the portfolio
- How do you see dependencies on counterparties?
- Setting limits in concentration risk
- Are these limits efficient?
- How are these limits affected by Concentration risk?
Tutor
Andy Shaw, Head of Counterparty Credit Trading, MERRILL LYNCH
12:30 Lunch
13:30 CALCULATING AND MEASURING THE RISK
- How do others do it?
- Challenges in specific securities and special case scenarios
- Quantification challenges between different asset classes
- Determining correlations between the various components of the portfolio
- Ensuring risk engines are robust enough to deal with the portfolio size
Tutor
Benedict Boelen, Quantitative Analyst, BNG CAPITAL MANAGEMENT
15:00 Afternoon break
15:30 MARKET CONCENTRATION RISK
- Why common risk measurement frameworks do not necessarily highlight concentration risks
- Ways of identifying concentrations risks
- Assess and report concentration risks
- Managing concentration risks (e.g. establish limit systems, set incentives for traders)
Tutor
Stefan Weichert, Head of Market Risk, HYPOVEREINSBANK/UNICREDIT GROUP
17:00 End of day one
Day 2
08:30 Registration and coffee
09:00 HEDGING CONCENTRATION RISKS
- What is the concentration risk?
- How can we hedge it?
- Diversify counterparties in order to prevent liquidity crises
- Hedge funds’ case study
- Emergency plan in case of liquidity deficiency
Tutor
Paolo Capelli, Head of Risk Management, AKROS ALTERNATIVE INVESTMENTS SGR
10:30 Morning break
11:00 RISK ANALYSIS OF PORTFOLIO TRANSACTIONS
- Checking the credit quality and difference of the loss distribution for concentrated and non-concentrated portfolios
- What is the impact of concentration risk?
- How are losses dispersed and how do they affect distribution?
- The cost of not knowing concentration: Ellsberg's paradox at work
Tutor
Umberto Cherubini, Associate Professor of Finance, UNIVERSITY OF BOLOGNA
12:30 Lunch
13:30 STRESS TESTING CONCENTRATION RISK
- Diversification vs. concentration risk: from Markowitz to Lhabitant, the myth and reality of different investment vehicles
- Stress testing: simple guess, ρ→1, scenario hypothesis following Basel II and scenarios for a portfolio of hedge funds
- Counter-party risk: concentration risk due to liquidity crises (Bear Stearns case)
- Positions overlap in a fund of funds: directional risk in a bear market
- Maximum weights in portfolio and rebalancing policy
- Selecting the right systematic risk factors
Tutor
Paolo Capelli, Head of Risk Management, AKROS ALTERNATIVE INVESTMENTS SGR
15:00 Afternoon break
15:30 RISK CONCENTRATIONS FROM A REGULATORY PERSPECTIVE
- Risk concentrations in credit portfolios
- How can they be measured?
- Minimum capital requirements of Basel II and concentration risk
- Risk concentrations under Pillar II
Tutor
Klaus Duellmann, Deputy Head of Banking Supervision Research, DEUTSCHE BUNDESBANK
