Workshop on Risk Budgeting and Active Portfolio Management

GOAL

Deliver a framework to implement a risk budgeting approach to active portfolio management.

COURSE DESCRIPTION

The workshop will approach the principle of risk budgeting and a strategy to allocate active risk across different active management strategies efficiently. A risk budgeting framework allows an institution to optimally allocate overall risk appetite (budget) to the universe of investment choices available so that, on an ex-ante basis, the institution makes informed decision in portfolio/strategy construction to optimally allocate risk budget. It also allows the institution to better differentiate amongst external managers, strategies, and asset classes. Risk budgeting brings discipline to the investment management process and fosters communication between the risk managers and portfolio managers. The workshop will be a mix of presentations, panel discussions, case studies, and meetings upon request to address specific issues related with the subject. At the end of the workshop, participants will have a clear view on different uses of risk budgeting, the governance needed and will be aware of implementation challenges.

DISCUSSION TOPICS

• Governance of risk budgeting
• Setting overall risk budget
• Risk allocation across investment strategies, external managers, active vs. strategic, etc.
• Monitoring of risk budgeting

TARGET AUDIENCE

This course is best suited for mid and senior-level technical experts from middle office and front office and management teams who are responsible for overall portfolio risk and return.