Personal Information
Organización/Lugar de trabajo
Cape Town Area, South Africa, Wairarpa South Africa
Ocupación
Senior Portfolio and Risk Manager
Sector
Finance / Banking / Insurance
Sitio web
http://www.knowrisk.biz/
Acerca de
My main areas of specialisation are in the fields of Risk Management, Portfolio Construction and Optimisation, Strategic and Tactical Asset Allocation for Hedge Funds of Funds, Balanced Funds and Mutual Funds. I have used these skills extensively for external Manager Selection and Portfolio Management. Managed Institutional Fund mandates on behalf of Commercial Union (Aviva), Fairheads, Shinko Securities (Mizuho), Taiyo Life and OCBC.
Specialised knowledge of Value at Risk (VaR) and CVaR ( Expected Shortfall) calculations for all forms of non-gaussian or asymmetric distributions as well as other downside risk measures such as Omega, Kappa etc. Used these risk management skills to restric...
Etiquetas
asymmetric returns
non-linear payoff
hedge funds
investments
downside protection
south africa
alternative investments
urbani
kiwisaver
drawdown
knowrisk
emerging managers
hedge fund
distribution fitting
non-parametric
asymmetric
statistics
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