Risk measurement for risk arbitrage strategies
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Date: 11-10-2003
Start Time:
5:30pm
End Time: 7:00pm
Speaker: Allan M. Malz, RiskMetrics Group
Location: Interschool Lab, Schapiro CEPSR
ABSTRACT
We present the analytics and data required to do a risk analysis of some "typical" hedge fund strategies, such as a Eurodollar futures butterfly, convertible bond arbitrage, and an index volatility skew strategy. We describe each strategy and give its motivation, and show how to decompose the strategies into the underlying risk factors, and how to measure different risk types.
BIO
Allan M. Malz is head of research at RiskMetrics Group. He joined RiskMetrics
Group at its spinoff from J.P. Morgan in September 1998. Allan spent most of his
earlier career at the Federal Reserve Bank of New York as a researcher and
foreign exchange trader. He headed up the Fed open market and foreign exchange
desks' efforts to improve market monitoring and analysis. Along the way, Allan
was a risk manager at Credit Suisse First Boston. Allan's research has been
published in a number of industry and academic journals, including Risk, the
Journal of Risk, the Journal of International Money and Finance, and the Journal
of Derivatives. He has a doctorate in economics from Columbia
University.