SFI: Risk Management Using Factor Models
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
Datum: 27.03.2025, 13:00 - 17:00 Uhr
Organisator: Swiss Finance Institute
Ort: Zunfthaus zur Schmiden
Adresse: Marktgasse 20, 8001 Zürich
