IMAC Lecture - Portfolio Risk Management Strategies
Nadima El-Hassan | University of Technology Sydney
About this Lecture
This lecture instructs IMAC candidates on the principles of various portfolio risk management strategies including:
- the multifactor approach to portfolio risk management;
- sources of risk that can be identified and managed within a portfolio;
- managing portfolio risk using futures and options;
- Value-at-Risk as a measure of portfolio downside risk;
- risk budgeting and Value-at-Risk; and,
- decomposing risk using Value-at-Risk to measure a portfolio’s overall risk.
About the Lecturer
Nadima El-Hassan is a Senior Lecturer in the Finance Discipline Group at University of Technology Sydney Business School. Nadima joined the School of Finance and Economics as a full-time staff member in July 1997. Her research interests include the pricing and hedging of complex derivatives, term structure modelling, risk management and portfolio attribution analysis. She has publications in a number of the leading international journals in finance including The Journal of Financial Engineering, Asian Capital Markets, Journal of Economic Dynamics and Control and Journal of Computational Finance.
- Read the textbook chapter(s) and paper(s) listed below.
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IMAC Lecture: Portfolio Risk Management Strategies
- IABOK - Chapter 19 (p1017-1048)
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