London, 16 April 2015
London Volatility and Tail Risk Educational Event

Agenda for the day…

Thank you to those who attended our 8th Volatility and Tail Risk Educational Event in London on April 16th 2015The day was a great success, with heated discussion and plenty of great questions from the audience. Please see the agenda section for videos and presentations from the day.

Please click on an agenda item to download the presentation or watch the video.

Thursday, 16 April 2015

The Royal Institution of Great Britain

Registration and Breakfast

CHAIR WELCOME REMARKS

Maya A.Z. Rodriguez (Managing Partner, AZR Capital Ltd)

ECONOMIC ADDRESS: Geo-corporate cocktails: The ingredients of volatility and how to avoid nasty spikes

Gerry Fowler (Global Head of Equity & Derivatives Strategy, BNP Paribas)

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Risk Disclosure Statement

DISCLAIMER - These materials may not be suitable for all audiences. Please click this button to confirm you are accessing these materials on behalf of a Professional Client or Eligible Counterparty; a Major US Institutional Investor; or an equivalent level of professional investor, and that you have read and agree to be bound by this Notice

View the full BNP Paribas Notice

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Managers' views on volatility, risks, returns and what lies ahead

  • Manager 1: Will Bartlet (CEO & Managing Member, Parallax Volatility Advisers)
  • Manager 2: Richard (Jerry) Haworth (Co-Founder & CIO, 36 South Capital Advisors)
  • Manager 3: Benjamin Clerget (Head of Equity Derivatives and Volatility Arbitage, BTG Pactual)
  • Moderator: Chris Watling (CEO & Chief Market Strategist, Longview Economics)

Volatility and the allegory of the prisoner's dilemma

Christopher Cole (Founder and CIO, Artemis Capital Management)

Taming and benefiting from volatility

Sibrand Drijver (Senior Manager, Investment Strategy, TKP Investments)

Coffee Break

Harvesting the volatility risk premia

  • Investor: Tarik Dalton (Investment Management Division, Department of State Treasurer, North Carolina)
  • Manager: Pierre De Saab (Head of Investment Team, Dominicé & Co)
  • Manager: Sarah Dahan (Portfolio Manager, BlueMountain Capital Management)
  • Consultant: Sibrand Drijver (Senior Manager, Investment Strategy, TKP Investments)
  • Moderator: Robert McGlinchey (Director, EQDerivatives) 

Understanding volatility: rational and behavioural models

Prof. Dr. Thorsten Hens (Prof. Dr. Hens is Chairman of the Department of Banking and Finance at the University of Zurich and is ranked one of the region’s top 10 Professors of Finance. As a consultant to the Investment Committee of the City of Zurich Pension Fund and President of the Investment Committee at Vita Sammelstiftung, he has first-hand experience of applying his research in practice.)

ISIS & the battle of hypocrisy

Robert Fisk (Robert is an English writer and journalist. He has been Middle East correspondent of The Independent for over thirty years and is primarily based in Beirut. Robert holds more British and International Journalism awards than any other foreign correspondent and has been voted International Journalist of the Year seven times. He has published a number of books and reported on several wars and armed conflicts. An Arabic speaker, he is one of few Western journalists to have interviewed Osama bin Laden, which he did on three occasions between 1993 and 1997.)

Lunch Break

Tail risk hedging: An investment consultant’s perspective

David Zanutto (Partner, Canadian Director of Strategic Investment Research, Mercer)

What am I hedging?

  • Consultant: David Zanutto (Partner, Canadian Director of Strategic Research, Mercer Investment Research)
  • Investor: Michael Winchester (Investment Strategist, State Super Financial Services Australia)
  • Investor: Simon Fox (Senior Investment Specialist, Aberdeen Asset Management PLC)
  • Manager/Moderator: Andrew Wong (Co-Chief Investment Officer, Fortress Convex Strategies Group, Fortress Investment Group)

Enhancing returns using tail hedging strategies

Angel Serrat (Chief Strategist, Partner, Capula Investment Management)

Russia on the brink

Edward Lucas (Edward Lucas is a senior editor at The Economist, responsible for coverage of energy, commodities and natural resources. He is also a senior vice-president at the Center for European Policy Analysis (CEPA), a Washington DC think-tank. His expertise includes energy, cyber-security, espionage, Russian foreign and security policy and the politics and economics of Eastern Europe.)

Vladimir Putin's opaque and highly personalised rule makes Russia's seeming political stability illusory. Feuds bubble inside the Kremlin and may boil over this year--but repression at home and aggression abroad are baked into the political system. Expect the worst.

Coffee and competition results

Our speakers…

Sibrand Drijver
Sibrand Drijver
Senior Manager, Investment Strategy TKP Investments
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Gerry Fowler
Gerry Fowler
Global Head of the Equity & Derivative Strategy BNP Paribas
Read Bio
Richard (Jerry) Haworth
CEO & CIO 36 South Capital Advisers LLP
Read Bio
Andrew Wong
Andrew Wong
Co-Chief Investment Officer, Convex Strategies Group Fortress Investment Group
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Angel Serrat, Msc, PhD
Partner & Chief Strategist Capula Investment Management
Read Bio
Robert McGlinchey
Robert McGlinchey
Director, Cross-Asset Volatility Coverage EQDerivatives
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Chris Watling
CEO and Chief Market Strategist Longview Economics
Read Bio
Paul B. Stephens
Paul B. Stephens
Vice President and Department Head Chicago Board Options Exchange
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Christopher Cole, CFA
Founder & CIO Artemis Capital Management LP
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Will Bartlett
Will Bartlett
CEO and Managing Member Parallax Volatility Advisers, LLC
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Pierre de Saab
Partner Dominicé & Co - Asset Management
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Edward Lucas
Edward Lucas
Energy Editor The Economist
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Prof. Dr. Thorsten Hens
Prof. Dr. Thorsten Hens
Swiss Finance Institute Professor of Financial Economics University of Zurich
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David Zanutto
David Zanutto
Partner Mercer Investments
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Benjamin Clerget
Benjamin Clerget
Associate Partner BTG Pactual
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Tarik Dalton
Tarik Dalton
Advisor to the Chief Investment Officer North Carolina Department of the Treasurer
Read Bio
Robert Fisk
Robert Fisk
International journalist and writer The Independent
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Sarah Dahan
Sarah Dahan
Portfolio Manager BlueMountain Capital Management, LLC
Read Bio
Simon Fox
Simon Fox
Senior Investment Specialist Aberdeen Asset Management PLC
Read Bio
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Venue

The Royal Institution of Great Britain
21 Albemarle Street
London
W1S 4BS

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