Cape Town Area, South Africa, Wairarpa, South Africa
WorkSenior Portfolio and Risk Manager
Industry Finance / Banking / Insurance
About My main areas of specialisation are in the fields of Risk Management, Portfolio Construction and Optimisation, Strategic and Tactical Asset Allocation for Hedge Funds of Funds, Balanced Funds and Mutual Funds. I have used these skills extensively for external Manager Selection and Portfolio Management. Managed Institutional Fund mandates on behalf of Commercial Union (Aviva), Fairheads, Shinko Securities (Mizuho), Taiyo Life and OCBC.
Specialised knowledge of Value at Risk (VaR) and CVaR ( Expected Shortfall) calculations for all forms of non-gaussian or asymmetric distributions as well as other downside risk measures such as Omega, Kappa etc. Used these risk management skills to restric...