Risk Management Using Factor Models 2022 | Swiss Finance Institute | 1 December 2022 | Renaissance Zurich Tower Hotel, Turbinenstrasse 20, 8005 Zürich, Switzerland

The focus of this Master Class is to convey the latest findings with regard to the general understanding of and in particular the application of factor models in investment and portfolio management. The most popular factor models will be explained using practical examples, and current industry standards will be examined and critically scrutinized. We will also show how up-to-date environmental, social, and corporate governance (ESG) factors can be incorporated into factor modeling and quantitative investment management.

• Introduction to factor models
– The Barra factor model of covariance matrix returns
– How to use a risk model to decompose a portfolio into its risk exposures

• Factor risk models applied in practice
– Becoming acquainted with different industry standards such as MSCI Barra, FactSet, and Bloomberg
– Discussion of the feasibility and advantages/disadvantages of using in-house solutions versus outsourcing
– Exploring use cases in practice

Group activity: Factors—What freedom to choose?

• Factor risk models and efficient asset allocation
– How to target any linear criteria, such as ESG scores or expected return
– Is there a link between ESG scores or expected return and risk factors?

2022 Speakers

CO-LEADERS;

Prof. Pierre Collin-Dufresne
SFI Senior Chair, EPFL

Dr. Günter Schwarz
Head Risk Modelling, UBS Asset Management