The "Checklist": Ten Steps for Advanced Risk and Portfolio Management
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Transcript of The "Checklist": Ten Steps for Advanced Risk and Portfolio Management
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GARP Webcast Series
Attilio Meucci, KKRMay 2016
On24 Tech Tips
• Make sure your speakers are on• Hit F5 any time your console freezes• For a LIVE event you should be hearing music now• Use the “Ask a Question” feature to report issues• Webcast starts at the top of the hour
Introduction to:The “Checklist”Ten Steps for Advanced Risk and Portfolio Management
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Attilio Meucci is the founder of Advanced Risk and Portfolio Management® (ARPM), under whose umbrella he designed and teaches the six-day “ARPM Bootcamp®”
Attilio Meucci is also the chief risk officer at KKR. Prior to joining KKR, Mr. Meucci was the chief risk officer and director of portfolio construction at Kepos Capital; the global head of research for Bloomberg’s risk and portfolio analytics platform; a researcher at Lehman POINT; a trader at the hedge fund Relative Value International; and a consultant at Bain & Co.
Mr Meucci is the author of “Risk and Asset Allocation” – Springer and numerous publications in practitioners and academic journals. In addition to the ARPM Bootcamp®, he taught at Columbia-IEOR, NYU-Courant, and Bocconi University.
Mr. Meucci earned a BA summa cum laude in Physics from the University of Milan, an MA in Economics from Bocconi University, a PhD in Mathematics from the University of Milan and is a CFA charterholder. Mr Meucci is fluent in six languages.
Attilio Meucci, Founder, ARPM
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Advanced Risk and Portfolio Management
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The “Checklist”: General Framework
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The “Checklist”: Summary
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The “Checklist”: Step 1a –Quest for invariance: risk drivers (E)
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The “Checklist”: Step 1b –Quest for invariance: Invariants (E)
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The “Checklist”: Step 2 –Estimation (E)
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The “Checklist”: Step 3 – Projection to the horizon (E)
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The “Checklist”: Step 4 – Pricing at the horizon (E)
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The “Checklist”: Step 5 – Aggregation (E)
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The “Checklist”: Step 6 – Ex-Ante Evaluation (E)
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The “Checklist”: Step 7 – Ex-Ante Attribution (E)
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The “Checklist”: Step 8 – Construction (E)
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The “Checklist”: Step 9 – Execution (E)
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The “Checklist”: Step 10 – Dynamic allocation (E)
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The “Checklist”: general case and videos
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The “Checklist”: Step 1a – Quest for invariance: risk drivers
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The “Checklist”: Step 1a – Quest for invariance: risk drivers (Gen. Case)
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The “Checklist”: Step 1b – Quest for invariance: Invariants
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The “Checklist”: Step 1b – Quest for invariance: Invariants
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The “Checklist”: Step 1b – Quest for invariance: Invariants (V)
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The “Checklist”: Step 2 – Estimation (General Case)
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The “Checklist”: Step 2 – Estimation (General Case)
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The “Checklist”: Step 2 – Estimation (V)
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The “Checklist”: Step 2 – Estimation (V)
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The “Checklist”: Step 2 – Estimation (V)
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The “Checklist”: Step 2 – Estimation (V)
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The “Checklist”: Step 3 – Projection to the horizon (Gen. case)
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The “Checklist”: Step 3 – Projection to the horizon (Gen. case)
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The “Checklist”: Step 3 – Projection to the horizon (V)
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The “Checklist”: Step 3 – Projection to the horizon (V)
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The “Checklist”: Step 4 – Pricing at the horizon (General Case)
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The “Checklist”: Step 4 – Pricing at the horizon (Video)
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The “Checklist”: Step 5 – Aggregation (General Case)
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The “Checklist”: Step 5 – Aggregation (General Case)
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The “Checklist”: Step 5 – Aggregation (Video)
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The “Checklist”: Step 5 – Aggregation (Video)
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The “Checklist”: Step 6 – Ex-ante Evaluation (General Case)
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The “Checklist”: Step 7 – Ex-ante Attribution (General Case)
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The “Checklist”: Step 8 – Construction (General Case)
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The “Checklist”: Step 9 – Execution (General Case)
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The “Checklist”: Step 9 – Execution (Video)
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The “Checklist”: Step 10 – Dynamic allocation (General Case)
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The “Checklist”: Step 10 – Dynamic allocation (Video)
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The “Checklist”: Ex-post performance Analysis
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Theory/code/case studies: www.arpm.co
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Q & A
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