On October 28th, 2020, Cube Finance hosted the webinar “Tools for Managing Risk in Listed Derivatives”, an online event dedicated to risk and portfolio management professionals operating in the fund management industry.
The webinar focused on the management of portfolios investing primarily in listed derivatives, including futures and options, and presented practical tools for monitoring and controlling market risks throughout the investment process.
The session covered several investment strategies, including:
- Long/short strategies using equity index and bond futures
- Delta neutral strategies based on selling options on stock indices
- Directional strategies implemented through options on stock indices
Particular emphasis was placed on risk management methodologies and controls, including:
- Pre-trade and post-trade risk management controls
- Scenario analysis and the use of what-if simulations to assess the impact of adverse market movements
- Sensitivity analysis using Greeks to evaluate portfolio exposure to key market variables such as interest rates, volatility, prices and time
- Value at Risk (VaR) analysis based on historical simulation to monitor portfolio risk on an ongoing basis
- The management of potential or actual VaR breaches and the available remediation options
The webinar provided an overview of the main techniques used to measure, monitor and manage risks associated with portfolios investing in listed derivatives.
