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Risk Management Reverse Stress Testing 28 August, 2012 - New York, United States

Registration, networking, and refreshments

Chapter Business
Herb Blank

Reverse Stress-Testing: Advance Techniques in Tail-Risk Management
Daniel Satchkov CFA, President and Director of Research, RiXTREMA

Seemingly unrelated events could have an impact on portfolio returns. Which events could effect your portfolios and why? What risk factor shocks could cause a -20% or lower return for your portfolio? This research addresses these questions and more:
  • Differentiating Reverse Stress Testing from Direct Stress Testing
  • Defining VaR terms in this context
  • Scenario Testing and Results for better risk management
Refreshment and networking break

Hedge Fund Risk Management Roundtable
Barry Schachter, Daniel Satchkov, and Raphael Douady; moderated by Herb Blank
  • Daniel Satchkov CFA is President, Director of Research, and Founder of RiXTREMA. Prior to founding RiXtrema, Daniel worked as an Associate Director of Risk Research at FactSet, where he was responsible for researching and developing software products in the areas of risk measurement and risk reporting. He speaks at numerous financial conferences and has published articles dealing with risk management issues in such magazines as Journal of Asset Management, Investment and Pensions Europe, Journal of Risk Model Validation, the Journal of Risk Management in Financial Institutions, as well as in a number of white papers and an E-book. Daniel is a winner of the Outstanding Author Contribution Award at the Emerald Literati Network Awards for Excellence 2012 for his work titled “The New Paradigm of Risk Management” published as a chapter in Critical Studies on Corporate Responsibility, Governance and Sustainability (volume 2). Daniel holds advanced degrees in business and mathematics from the University of the Pacific.

  • Barry Schachter is Chief Risk Officer at Woodbine Capital Advisors LP. Over the last 11 years Barry has been responsible for risk management at four hedge funds: Moore Capital, Balyasny Asset Management, SAC Capital and Caxton Associates. He is Research Associate of the EDHEC business school in Nice, France. He established (in 1996) and still maintains a website for risk management, www.GloriaMundi.org. He currently serves on the Editorial Board of the Journal of Derivatives. He received his PhD (and MA) from Cornell University, and received his BS (and AS) from Bentley University.

  • Dr. Raphael Douady is Co-Founder and Research Director of Riskdata. One of the founders of Riskdata, Dr. Douady has over ten years of experience in the banking industry (risk management, option models, trading strategies, etc.) and twenty years research experience in pure and applied mathematics. Widely recognized for his high performance numerical techniques theory, Dr. Douady is the founder of the New-York University' Seminar of Mathematical Finance. He graduated from Ecole Normale Superieure of Paris and holds a doctorate in mathematics from the University of Paris.
Event Details
  When   Between 20/08/2012 05:30 PM and 20/08/2012 08:30 PM
Where   Patrick Conway's, 40 E 43rd St (between Madison & Vanderbilt), New York, United States
Contact Details
  Name   QWAFAFEW New York chapter
E-mail   nyc@qwafafew.org