June 11, 2014
PARIS- In a special presentation to the Club AMPERE group, Mr. Raymond Li, Founder and President of ARAMA, LLC talked about the practical approach of analyzing Duration and Spread gaps in the Balance Sheet, together with monitoring Stress cases, as tools to align Asset Allocation and Product Management strategies and to manage capital adequacy. Mr. Li also presented key ideas for constructing an Idealized Asset Portfolio to close the A/L gaps and respond to regulatory constraints, as well as introduce the concept of Performance Adjusted for Risk (PAR®) as a powerful incentive for Portfolio Managers to synchronize their goals with the firm’s. Concrete examples were discussed, including showing how the total risk measured in the A/L Management Report can be used as a proxy of Economic Capital.
Mr. Joseph Ohayon, Founder and Managing Director of OTCFin, then discussed the risk management building blocks and tools needed to successfully implement the above methodologies as well as enable firms to address the regulatory requirements in today’s landscape. Mr. Ohayon talked about the importance of Enterprise Data Management, Pricing and Stress Testing capabilities and Reporting and Portfolio Construction tools, highlighting the typical implementation challenges and keys to successful implementation.
Participants at the Club AMPERE presentation included executives from the French asset management community such as Amundi, AVIVA Investors France, AXA Investment Managers, La Banque Postale Asset Management, Lazard Frères Gestion and OFI Asset Management.
About the Speakers
Raymond K. Li, Founder and President of ARAMA, LLC
Before founding ARAMA, LLC, a risk management consulting firm providing sophisticated, tailored and result-oriented enterprise risk management framework solutions for its clients, Raymond Li was a Senior Managing Director, Head of Quantitative Risk at TIAA-CREF for 10 years. During his tenure, he provided leadership in building the Risk Management Department and various governance committees, served as one of the architects of the Market Risk and Credit Risk measurement and analytic systems and as one of the early founders of the Asset Liability Management process. He also supervised the development of cutting-edge quantitative models for risk management and business strategy. Prior to joining TIAA-CREF, Mr. Li was a Senior Vice President of Lehman Brothers for 11 years, in the role of the Head of Quantitative Risk and Model Validation and before that, he was the Head of Model Validation and Valuation for Merrill Lynch for 6 years. Mr. Li received his Ph. D. in Finance, MBA and M.A. in Economics from the Wharton Business School of the University of Pennsylvania, his M.Sc. in Statistics from the London School of Economics and Political Science of the University of London, and his B.A. in Mathematics from the University of Hong Kong.
Joseph Ohayon, Founder and Managing Director of OTCFin
Joseph Ohayon is the Founder and Managing Director of OTCFin, a financial technology specialized in enterprise Risk Data Management and integration solutions. Mr. Ohayon directs the business development activities of the firm and acts as an engagement manager on several projects. Mr. Ohayon has extensive experience in sales and trading and portfolio management technology working over 20 years in domestic and international capital markets. He is actively engaged in the design and development of the OTCFin risk and portfolio management products for traditional and alternative asset managers. Mr. Ohayon has written articles, performed product and company evaluations, and has been a guest speaker at several technology conferences. He holds a Masters Degree in Computer Science from Ecole Superieure d’Electricite in France and an MBA in Finance and Strategy from the Sloan School of Management, MIT.
About Club AMPERE
Club AMPERE (Asset Management PErformance and REporting) is a think tank composed of experts in performance measurement and financial reporting in the field of asset management. The group’s mission is to contribute to the transparency of information given to investors and the improve efficiency in their business processes. Club AMPERE’s activities include developing methodologies, proposing best practices in performance measurement and risk analysis and, more generally, representing client reporting standards. More information about the Club’s objectives and members may be found on www.clubampere.org.
For more information, please contact:
Ludovica Grisi della Pie
T +1 917 210 6852
T +1 212 913 0375
T +1 201 280 8609