the "checklist": ten steps for advanced risk and portfolio management

GARP Webcast Series

Attilio Meucci, KKRMay 2016

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Introduction to:The “Checklist”Ten Steps for Advanced Risk and Portfolio Management

Attilio Meucci is the founder of Advanced Risk and Portfolio Management® (ARPM), under whose umbrella he designed and teaches the six-day “ARPM Bootcamp®”

Attilio Meucci is also the chief risk officer at KKR. Prior to joining KKR, Mr. Meucci was the chief risk officer and director of portfolio construction at Kepos Capital; the global head of research for Bloomberg’s risk and portfolio analytics platform; a researcher at Lehman POINT; a trader at the hedge fund Relative Value International; and a consultant at Bain & Co.

Mr Meucci is the author of “Risk and Asset Allocation” – Springer and numerous publications in practitioners and academic journals. In addition to the ARPM Bootcamp®, he taught at Columbia-IEOR, NYU-Courant, and Bocconi University.

Mr. Meucci earned a BA summa cum laude in Physics from the University of Milan, an MA in Economics from Bocconi University, a PhD in Mathematics from the University of Milan and is a CFA charterholder. Mr Meucci is fluent in six languages.

Attilio Meucci, Founder, ARPM

Advanced Risk and Portfolio Management

The “Checklist”: General Framework

The “Checklist”: Summary

The “Checklist”: Step 1a –Quest for invariance: risk drivers (E)

The “Checklist”: Step 1b –Quest for invariance: Invariants (E)

The “Checklist”: Step 2 –Estimation (E)

The “Checklist”: Step 3 – Projection to the horizon (E)

The “Checklist”: Step 4 – Pricing at the horizon (E)

The “Checklist”: Step 5 – Aggregation (E)

The “Checklist”: Step 6 – Ex-Ante Evaluation (E)

The “Checklist”: Step 7 – Ex-Ante Attribution (E)

The “Checklist”: Step 8 – Construction (E)

The “Checklist”: Step 9 – Execution (E)

The “Checklist”: Step 10 – Dynamic allocation (E)

The “Checklist”: general case and videos

The “Checklist”: Step 1a – Quest for invariance: risk drivers

The “Checklist”: Step 1a – Quest for invariance: risk drivers (Gen. Case)

The “Checklist”: Step 1b – Quest for invariance: Invariants

The “Checklist”: Step 1b – Quest for invariance: Invariants

The “Checklist”: Step 1b – Quest for invariance: Invariants (V)

The “Checklist”: Step 2 – Estimation (General Case)

The “Checklist”: Step 2 – Estimation (General Case)

The “Checklist”: Step 2 – Estimation (V)

The “Checklist”: Step 2 – Estimation (V)

The “Checklist”: Step 2 – Estimation (V)

The “Checklist”: Step 2 – Estimation (V)

The “Checklist”: Step 3 – Projection to the horizon (Gen. case)

The “Checklist”: Step 3 – Projection to the horizon (Gen. case)

The “Checklist”: Step 3 – Projection to the horizon (V)

The “Checklist”: Step 3 – Projection to the horizon (V)

The “Checklist”: Step 4 – Pricing at the horizon (General Case)

The “Checklist”: Step 4 – Pricing at the horizon (Video)

The “Checklist”: Step 5 – Aggregation (General Case)

The “Checklist”: Step 5 – Aggregation (General Case)

The “Checklist”: Step 5 – Aggregation (Video)

The “Checklist”: Step 5 – Aggregation (Video)

The “Checklist”: Step 6 – Ex-ante Evaluation (General Case)

The “Checklist”: Step 7 – Ex-ante Attribution (General Case)

The “Checklist”: Step 8 – Construction (General Case)

The “Checklist”: Step 9 – Execution (General Case)

The “Checklist”: Step 9 – Execution (Video)

The “Checklist”: Step 10 – Dynamic allocation (General Case)

The “Checklist”: Step 10 – Dynamic allocation (Video)

The “Checklist”: Ex-post performance Analysis

Theory/code/case studies: www.arpm.co

Q & A