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.


  1. Read the textbook chapter(s) and paper(s) listed below.
  2. Download the slides (using the link above the video) and print them, so you can take notes as you’re listening.
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  4. Have your say about the lecture. Complete the 5 questions at the end of the page (your answers are confidential to the Forum and only anonymised, aggregated data is provided to lecturers).

IMAC Lecture:  Portfolio Risk Management Strategies

Essential reading(s)
- IABOK - Chapter 19 (p1017-1048)

Additional reading(s)

Lecture  (3 hrs 24 min)  |  Slides (PDF)  |  Slides (Word)

What’s your view?

Please answer the following questions (your individual answers are confidential to the Forum and only anonymised, aggregated data is shared with the lecturers).