【CFA Japan Seminar Announcement】
Title: Stress Testing for Investment Decision Support; the Best and Next Practices
Date: November 1st (Thursday), 2018, 19:00-20:30
Venue: Room1-2, FINE TOKYO, 5th Floor, South Tower, Otemachi Financial City, 1-9-7 Otemachi, Chiyoda-ku, Tokyo
(For those who take the subways to come: From Tokyo Metro Otemachi Station, please use the passageway directly connecting to the first basement floor of the building. Then take the South Elevator from the first basement floor or the first floor to the fifth floor.
For those who come from the surface street: Please enter the SouthTower, Otemachi Financial City from FINE TOKYO Entrance that is across the street of Sankei Building. Then take the South Elevator from the first floor to the fifth floor.)
Specialty Focus Areas: Risk Management (CE credit eligible)
Speaker: Mr. Olivier d'Assier (Head of Applied Research, APAC ,
Fee: CFA Japan Members, CFA Members of other societies, Associate Members, Professional Members：Free, Candidate Non Members: JPY 2,000, Non-members: JPY 3,000
Stress tests are designed to estimate the impact of adverse market movements on a portfolio. These market scenarios can be extreme but should always be plausible. For example, changes in monetary policy, increasing inflation, or political instability can be modeled as low-probability events. Meaningful stress tests provide a forward-looking assessment of risk, overcome limitations of simulation models, and help aid the development of risk mitigation techniques.
Under a risk management framework, stress tests are an indispensable complement to statistical models such as value at risk (VaR). While the risk factors, distributional assumptions, and pricing functions of VaR models vary, even the most sophisticated approaches are deficient in abnormal or crisis periods. One might be tempted to look further in the tail of the loss distribution for extreme events (with greater percentiles or a metric such as CVaR). But if the loss distribution is derived under normal market conditions, it might not apply in a crisis period. In fact, VaR models do not adequately capture volatility jumps or changing correlation structures and perform poorly when liquidity dries up, as seen by the Lehman crisis.
Stress tests overcome the shortcomings of statistical models. Stress tests need not reflect correlations under normal periods and are designed by specifying directional shocks to parsimonious or granular risk factors. Since stress test results are represented as P&Ls, they are more transparent and intuitive than VaR or CVaR. In addition, they help design better hedges so that managers can mitigate unacceptable levels of risk. In this presentation we will focus on the design of relevant scenarios for quantifying the potential impact of various geopolitical and macro-economic risks to a model portfolio.
Mr. Olivier d'Assier, Head of Applied Research, APAC, Axioma Inc.
Olivier d'Assier is Head of Applied Research, APAC for Axioma, responsible for generating unique regional insights into risk trends by leveraging and analyzing Axioma's vast data on market and portfolio risk. d'Assier's research helps clients and prospects better understand and adapt to the evolving risk environment in Asia Pacific. The author of periodic special reports, d'Assier produces regional and global research on market and portfolio risk.
Previously Managing Director of APAC, Olivier was responsible for the performance, strategy, and commercial success of Axioma's operations in Asia Pacific. Upon joining in 2006, d'Assier brought Axioma's key innovations to the Asia PAcific marketplace via the development of Asian-centric products.
Prior to joining Axioma, d'Assier spent seven years at Barra Inc. as VP for Asia Pacific and President of Barra Japan before servings as Executive Director for Asia Pacific for MSCI-Barra.
In addition to his experience managing quantitative solutions, d'Assier spent nine years in investment banking as a sales trader in Europe and Asia for Nikko Securities and SMI Securities. He is a sought-out public speaker and regular guest on business and financial news programs with CNBC and Bloomberg TV, providing expert commentary on investment performance, risk management, and industry challenges.
d'Assier has lived in Asia since 1996 and has worked in Singapore, Hong Kong, and Tokyo.