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About the Masterclass
Tail risk events are undesirable and difficult to predict. They also inflict significant drawdown to most portfolios. The one-day move of -12.5% in the S&P 500 index on March 16, 2020, due to Covid-19 pandemic market shock has once again emphasized the importance of tail risk management. Given the challenge in predicting tail risk events, it is common for portfolio managers to adjust their portfolio holding to account for this contingency. This is achieved either through a diversified allocation or the acquisition of insurance securities—the latter requires the allocation of a risk budget, which is prone to exert a performance drag on the portfolio. In this talk, we will explain how a portfolio of cheap options, literally, is a robust hedge for tail risk events. We will also provide the rationale behind this surprising hedging performance.
About the speaker
Dr. Tee Chyng Wen
Associate Professor of Quantitative Finance
Dr. Tee Chyng Wen is an Associate Professor of Quantitative Finance at Singapore Management University (SMU), and the Academic Director for the Master of Science in Quantitative Finance programme at the Lee Kong Chian School of Business. His research interest covers quantitative trading, option strategies, market microstructure, and risk analytics. Before joining SMU, Dr. Tee Chyng Wen was a desk strategist at Goldman Sachs' Asia Macro Trading Desk at Hong Kong SAR. Prior to that, he was a quantitative analyst at the Fixed Income Division at Morgan Stanley, London. Dr. Tee Chyng Wen also has a PhD in Engineering from the University of Cambridge, UK, and a BEng from Nanyang Technological University, Singapore.
If you have any questions, please reach out to our team at
+91 85916 24998