The Premier Event for Quantitative Investment Thought Leaders
Florian Lelpo
Head of Macro and Mult-Asset Portfolio Manager Lombard Odier Investment Managers
Florian is Head of Macro in LOIM’s Multi-Asset Group, where he drives the use of macroeconomic inputs in the group’s investment solutions. He rejoined LOIM in August 2021 after a stint as Head of Macro Research and multi-asset PM at Unigestion. From 2013-2015 he was a fixed income portfolio manager at LOIM and prior to that at BCV from 2011-2013. From 2008-2010 he was an econometrician within the global bonds team at Pictet AM. He started his career as an economist at Dexia in 2005. Florian is a graduate from ENS and ENSAE in Paris. He holds a PhD in empirical finance from Sorbonne University. Florian publishes regularly scientific articles and books and teaches empirical finance and quantitative portfolio management techniques at HEC Lausanne, Dauphine University and EM Lyon.
Day 1: 14 October
11:45 AM PANEL: Multi Asset Strategies - Finding a functional risk model for diverse markets
Traditional risk models often fall short in capturing the complex dynamics across multiple asset classes, regions, and liquidity profiles. Gain insights into:
- The development and implementation of functional, adaptable, data-driven risk models
- Cross-asset volatility, as well as fact and correlation modelling.
- Practical challenges in stress testing and scenario analysis.
Panel Questions:
- How can we develop and implement functional, adaptable, data-driven risk models that effectively capture the complexities across multiple asset classes, regions, and liquidity profiles?
- In the context of cross-asset volatility, what are the best practices for factor and correlation modeling to ensure accurate risk assessment and management?
- What are the practical challenges faced in conducting stress testing and scenario analysis, and how can these be addressed to improve risk model robustness?
- Given the dynamic nature of financial markets, how can risk models be designed to adapt to changing conditions and provide reliable insights during periods of market stress?
Check out the incredible speaker line-up to see who will be joining Florian.
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