Risk, Quantitative Finance and Economics

  1. Macroeconomics Training

    Outline of 1-day seminar:

    1. Measures of economic performance
    2. Twin evils of macroeconomics
    3. Components of aggregate demand
    4. Supply side of the economy
    5. Fiscal policy and monetary policy
    6. Stagflation
    7. Open economy macroeconomics
    8. Balance of payments
    9. Exchange rate economics
    10. Mundell-Fleming model
    11. Big issues in macroeconomics
    12. Economic cycles
  2. Portfolio Construction
    • Tailored to the context of corporate pension risk and asset-liability management
    • Mean Variance Optimization (MVO)
      • Pioneered by Nobel laureate Harry Markowitz, MVO manages trade-off between the assets’ returns, risks, and correlations
      • Used to construct efficient portfolios: portfolios that minimize risk for a given target return
      • Uses the volatility (or equivalently variance) of asset returns as a measure of risk
      • Can be augmented with alternative risk measures that focus on downside risk such as lower partial moments, VaR, and expected shortfall