APT NEWSLETTER - APRIL 2012
Foreword from Rob Mackay, COO, SunGard APT
Bringing Risk into the Front Office
Those who took part in or downloaded the results of APT’s 2012 Risk Trends Survey will be aware that one of the main challenges faced by risk professionals is demonstrating the value of risk management to the front office.
While senior management, investors and regulators value and support the risk management function in financial institutions, risk managers still face an uphill struggle persuading portfolio managers and traders to act on risk insight. Helping risk managers communicate the importance of their work and enabling our clients to build constructive risk cultures is one of our main aims.
As such, I am particularly pleased to announce that Ian Barnett, Head of Front Office Analytics at HSBC, has agreed to join SunGard APT’s Laurence Wormald for a podium discussion on the topic of ‘Bringing Risk into the Front Office’.
If you can join us in London this Wednesday, 2nd of May, you will hear our two experts discuss how to bring risk out of the middle office and into the front office. Ian and Laurence will explore how to produce actionable risk insight that is valuable to traders and portfolio managers and how to create a return-focused risk culture in buy-side institutions.
This is a hot topic we will continue to explore via various channels this year, including at this year’s European and North American Client Conferences. Registration is now open for both conferences. We hope you can join us.
Warm regards,
Rob Mackay, Chief Operating Officer, SunGard APT
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TT International: Portfolio Risk Insight: A Multi-Asset Case Study
Learn more about the risk management framework within a limited liability partnership and hear one of the most challenging questions a portfolio manager can ask a risk manager: Watch the video now. Fast forward to 03:14 to get straight to the question.
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APT Best Market Risk Solutions and Private Equity White Paper
Once again, the Waters Rankings seek input from risk professionals on which technology and services providers deserve recognition for their offerings.
We would like to ask you to please nominate SunGard in category 20: Best Market Risk Solution Provider.
As a thank you, we would like to offer you an advance copy of the soon to be published APT Whitepaper: Assessing the Market Risk of Private Equity Investments
In order to assess the risk of a portfolio of private and public equities, we need to estimate the relationship between the two asset classes. One way to do this is to compare the pooled quarterly returns of private equity funds with the returns from the public markets. However, due to the appraisal-based valuation of private equity investments, the reported returns are often smoothed, leading to an underestimation of true volatility and the correlation between the two asset classes. This document describes how to correct the smoothing process inherent in the returns of private equity, and how these corrected returns can then be incorporated into a multifactor risk model of private and public equities.
For more information, please contact your account manager or email us at ai.solutions@sungard.com
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Five Facts About Using Factor Models For Market Risk Management
As a risk and investment professional, you know that factor models are now the widely accepted standard method for measuring market risk. You know the differences between different types of factor models and how they are constructed. But different factor models include different factors - which ones are the right ones to include?
The debate around fundamental factor models, which pre-specify factors, and statistical factor models, which use statistical processes to extract the factors from market prices, often draws on complicated mathematical arguments. If you have ever struggled to explain the finer points of the debate to your colleagues, this document will be useful for you. It provides an overview of the two different approaches and summarizes the debate in five points.
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