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| Buy Side Risk Management |
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| 04-11-2007 |
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Barry Schachter, Director of Quantitative Resources at Moore Capital Management, a hedge fund based in New York and Founder of GloriaMundi.org, a website for risk managers was the speaker of a PRMIA meeting in London on October 31st. His talk was about the challenges facing Chief Risk Officer at a Hedge Fund.
RiskWave was represented at the meeting by one of its founders Auguste Nguetsop, who took the opportunity to engage with Barry Schachter about the interests and limitations of stress testing VCV matrix in calculating VaR during Market Stress.
A key topic covered during the gathering was the difference between Risk Managements practices in the Sell Side versus the Buy Side. Barry emphasized that Risk Management in the Sell side was mostly driven by Regulatory constraints, with standard practice such as VaR at 99% confidence level and 10 day holding period.
On the Buy Side, Risk Management seems to be more customized to the Portfolio Manager Strategy and Risk appetite, hence requiring a closer partnership between the Risk Manager and the Portfolio Manager.
The role of a Risk Manager in a hedge fund is from that perspective a more complex one, requiring excellent judgment in selecting the right risk toolkit to help adequately the Portfolio Manager.
The gathering was well attended, with participants drawn from Hedge funds and top tier investment banks.
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