Tail Risk Management for Portfolios

The recent succession of the Great Financial Crisis, the COVID-19 pandemic, and the war in Ukraine highlights the importance of tail risk for investment managers and the difficulty of predicting the frequency and magnitude of crises. How should investors structure their portfolios to reduce their exposure to outlier events? This SFI Master Class explores various approaches to measuring and hedging portfolio exposure to tail risk, with a focus on using derivatives.

Co-Leaders :

• Prof. Pierre Collin-Dufresne, SFI Senior Chair, EPFL
• Cyril Levy-Marchal, Independant Consultant, former Head of Asia Pacific Equity Trading, J.P. Morgan

This Master Class is offered by the Swiss Finance Institute in cooperation with the Geneva Financial Center.

Registration is mandatory

The specific objectives are :

•     Understand the impact of tail risk on portfolio returns.
•     Understand option-implied tail risk.
•     Discuss how to manage tail risk in theory.
•     Explore practitioners' perspectives on historical tail risk scenarios and their effects on investment performance.
•     Identify how to manage tail risk in practice, including opportunities and pitfalls.
•     Assess whether hedging tail risk is optimal.

Master Class Features and Target Audience

SFI Master Classes offer seasoned banking and finance professionals a unique opportunity to exchange knowledge and share their professional views with top-level academics and industry experts in an interactive learning environment. Master Classes incorporate hands-on group work and opportunities for discussion. An on-site networking event will follow the Master Class.

This particular Master Class is aimed at professionals in the financial industry who work in asset and wealth management. The event is also of interest to experts hailing from risk management or investment banking.

This SFI Master Class is an acknowledged SAQ recertification measure and comprises four learning hours for the following SAQ profiles:

•     Wealth Management Advisor CWMA
•     Advisor Affluent Clients

This SFI Master Class covers the aspect "industry knowledge."