What's the Value at Risk?

David has over 30 years’ experience of managing risk across global markets. David is the CIO of Singapore-based Convex strategies - which focuses on risk management including protecting against dislocations in asset markets. Prior to launching Convex Strategies, he served as a Managing Director and Portfolio Manager at Artradis Fund Management in Singapore. Earlier in his career, David built and ran Asian and Global EM trading businesses for RBS (ABN AMRO Group), Bankers Trust and Bank of America. David holds an MBA from University of California, Berkeley. He currently sits on the Monetary Authority of Singapore Markets Committee (SFEMC). In this podcast we discuss:

1. The confusion between measuring risk and managing risk
2. The problem with value-at-risk and defining risk
3. What is convexity
4. Why buying options is not ‘expensive’
5. Importance of compound returns over arithmetic returns
6. How to think about ergodicity
7. Why allocation to bonds don’t provide the right downside protection
8. Getting your defense right, insurance and long vol strategies
9. The role of central banks in shifting equity-bond correlations
10. The importance of time in convexity strategies
11. The growing fragility in the financial system
12. Managing correlation risk
13. Books that influenced David: How Nature Works (Bak), The Misbehaviour of Markets (Mandelbrot), The Incerto Collection (Taleb), The Road to Serfdom (Hayek), Ubiquity (Buchanan), Radical Uncertainty (King)