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Risk Management - March 22, 2011

CFA Institute webcast on “Fees at Risk” featuring EDHEC professor Bernd Scherer now available on-line


In the webcast entitled “Should Asset Management Firms Hedge Their “Fees at Risk”?”, recorded in November 2010, Dr. Scherer examines this key issue for asset management firms who often experience swings in their revenues and profits due to changes in asset-based fees. In 2008, they came under severe pressure from this type of market risk. Should these be better managed in accordance with well-established risk management principles? Dr. Scherer looks at issues related to this question, and discusses the desirability of hedging production risk (fees at risk) and capital market related business risk (redemptions by clients either to shed risk or to raise cash), as well as approaches to implement the hedging programme.

The EDHEC-Risk Institute working paper, published in the Fall 2010 issue of the Journal of Applied Corporate Finance, on which the webcast is based may be downloaded here.

Bernd Scherer is professor of finance at EDHEC Business School and a member of EDHEC-Risk Institute. Prior to joining EDHEC, he was managing director and global head of quantitative structured products at Morgan Stanley in London and honorary visiting professor at the University of London Birkbeck College. Previously he worked at Deutsche Asset Management, where he headed the Investment Solutions and Overlay Management Group in Frankfurt and Global Quantitative Research and Portfolio Engineering from New York. His research on investment management, strategic asset allocation, portfolio construction, and asset pricing has been widely published in academic and practitioner journals. He serves as associate editor of the Journal of Asset Management, and he is on the management committee of the London Quant Group. Professor Scherer has authored and co-authored several reference books on portfolio construction and optimization, risk management, investment management, and liability hedging, including the fourth edition of “Portfolio Construction and Risk Budgeting” (2010).