The CBOE Risk Management Conference Europe, Penha Longa Resort in Lisbon, Portugal from September 30th through October 2nd is fast approaching. The full agenda and topics can be viewed at: http://www.cboermceurope.com/agenda
I’ve detailed the agenda for days one and two over the last few weeks.
Here’s the schedule of topics and speakers for day three, Wednesday, October 2nd:
7:15am – 8:am Breakfast
8:00am – 9:00am Keynote Speaker: Gerry Fowler, Head of Equity & Derivative Strategy, BNP Paribas
Love Panic: Can sentiment indicators can inform equity risk management strategies?
– A sentiment phase overlay to quantitative US sector long/short option strategies
9:15am – 10:30am Panel on Volatility as an Asset Class
Moderator: Robert McGlinchey, Managing Editor, Derivatives Intelligence & Derivatives Week
Zoltan Eisler, Portfolio Manager – Directional Strategies, Capital Fund Management
Dr. Christoph Gort, Partner, SIGLO Capital Advisors
Neale Jackson, Portfolio Manager, 36 South Capital Advisors
Alex Orus, Founder, Nascor Capital Partners AG
11:00 am – 12:15am Beyond VIX: Trading Volatility and Variance Across Asset Classes
-Variance strategies and relationships to equity volatility markets
-Volatility of non-equity asset classes
-Analyzing credit spreads versus equity volatilities
-Hedging macro portfolios: finding good proxy hedges and underpriced tails
-In practice: examples and implementation
-Listed variance futures design and trading
Chris Rodarte, Portfolio Manager, Pine River Capital Management
William Speth, Vice President, Research and Product Development, CBOE
Lunch and Networking followed by Dinner.
Now in its 29th year in the US, the CBOE Risk Management Conference (RMC) is hosted by the Chicago Board Options Exchange (CBOE) and CBOE Futures Exchange. The RMC is an educational forum where institutional users of equity derivatives and volatility products learn about new products and trading strategies and discuss new tactics to manage risk exposure and enhance yields.
Please visit our web site to register or to get additional information about CBOE’s RMC Europe beginning September 30th. http://www.cboermceurope.com/