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Presentations
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Valuing the Greek Equity Market (Georgiadis Her. Nicholas), CV Details
Greek equities appear to have entered a new long-term upward trend following their last peak back in 1999. What's the value of the Greek equity market today and which are the determinant factors for its future trend? Where do the market's fundamentals stand?
How Greek valuations compare with the corresponding European and US equities? What's the comparison of Greek sectors with their international peer groups? How did the market's last bull market in 1999 affect Greek valuations? Is it likely for such a trend to appear again in future?
Valuation cycles through time and their characteristics. Finally, is the Greek equity market attractive?
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Alternative Investment vs. Traditional Investment (Goudinakos Stratos), CV Details
Security is the driving force of investments. The fundamental need to make a return either simply to cover the cost of living or to actively increase assets have made and lost great fortunes and wealth for investors.
Traditional fund managers invest in long only equities and/or bonds. Their investment management approach is known as indexation, achieving returns as close to indices as possible.
As financial markets and capitalism have progressed, new concerns got raised about protecting asset's value from risk. Risk was the underlying concept of modern portfolio theory which allowed institutional managers to consider efficient diversification of investments out of the long only investment structures.
The combination of inflation, taxes and low interest rate environment have effectively reduced the no risk portion of investment portfolios and created the need for diversification and non-correlation, i.e. last summer's subprime crises.
The pressure on institutional managers to achieve steady returns on their assets and the move towards absolute rather than benchmark performance, has pushed them to consider the alternative investment industry. Alternative investments have been accessed through Hedge Funds. There are many types of hedge funds, their differences lie in their investment strategy.
It should be emphasized that this asset type is particularly sophisticated.
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Navigating Sustainable and Responsible Investments (Sophie Dimopoulou), CV Details
Sustainable & Responsible Investment (SRI) has grown from a niche market offering to an influential EUR 2.5 trillion industry in 2007 that comprises more than 800 investment products. The momentum that SRI has enjoyed in recent years has encouraged many professional investors to venture into this market. A survey carried out in 2006 by the European Social Forum (EUROSIF) reveals that the broad European SRI market is now estimated to represent as much as 10 to 15% of the total European funds under management. This constitutes 36% growth since December 31, 2002.
The role of a specialist SRI manager is to combine strong sustainability analysis with first-rate financial risk-return skills. The outcome of a quality SRI investment process should thus be that the investors achieve a double objective: to ensure good financial management of their funds and to incorporate in that management consideration of the sustainable and responsible behavior of the holdings selected.
Topics to be covered during the presentation:
- The Roots of SRI - from exclusion to integration
- Environmental, Social and Governance - an enhancement of, rather than a substitute for, conventional investment
- Myths and Facts about SRI
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The information flow between derivatives market and the underlying market of FTSE-ASE20 and FTSE-ASE 40 indices (Kavussanos G. Manolis, Ph.D.), CV Details
The main reasons for the existence of financial derivatives are for hedging and investing purposes.
Apart from these reasons however, there are many more factors that contribute to the arguments in favour of introducing these instruments into the modern financial system.
For example, derivatives markets contribute, amongst other things, to the discovery of prices in markets.
Recent research examines the relation between futures contracts on the indexes FTSE-ASE20 and FTSE-ASE Mid 40 and the underlying indices, with regard to two factors: prices and volatility. The results are interesting.
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Pricing of Pollution Derivatives (Markellos Rafail, Ph.D.), CV Details
This presentation outlines the results from the first comprehensive study of the spot and futures markets for emission allowances traded under the European Union Emissions Trading Scheme (EU ETS). It is argued that the decision to prohibit banking between the distinct phases of the scheme has critical implications in terms of derivative pricing and hedging.
Specifically, empirical analysis of data from the Powernext, Nordpool and European Climate Exchange, the three main markets of the EU ETS, confirms that only intra-phase futures prices are well described by the cost-of-carry model with a zero convenience yield. In the case of inter-phase futures, the design of the market means that these instruments are essentially written on an asset that is not tradable during the whole life of the contracts so an equilibrium pricing approach is appropriate.
The analysis of spot and inter-phase futures prices suggests that the best approximation of their relationship is obtained by a two-factor futures pricing model which assumes a jump-diffusion for the underlying process and a stochastic, mean reverting convenience yield. The empirical size of the convenience yield implies that the prohibition of banking has increased the inter-phase futures prices by about 5% and has induced additional costs to market participants in the order of €1.36 billion from June 2005 to July 2007.
Finally, the presentation also discusses an empirically and theoretically consistent framework for the pricing and hedging of intra- and inter-phase option futures, respectively.
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Strategies to substitute the underlying values, on a basis of specific product examples (Panagiotis Michalopoulos), CV Details
There will be a presentation of alternative investment strategies, versus the direct investment in the underlying value.
More concrete, the investor (regardless if he is an institutional or private customer) by investing direct in bonds / shares / commodities / precious metals etc., he has the expectation to sell in the future at a higher price of his initial investment. For this expectation he exposes his investment to the danger of a correction of the underlying value, having only the potential benefit of future rising prices.
The strategies and products in the presentation will focus on the following points:
- Ways to create a buffer for protection of potential market corrections
- Ways to generate yield in sideways stepping and/or (moderate) falling markets
- Equal or better performing than the underlying value itself.
All three above characteristics, are possible to exist concurrently in one product!
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Is successful Portfolio Risk Management a matter of tools or a matter of procedures and corporate culture? (Benos Alexandros, Ph.D.), CV Details
A financial institution can be likened to a "risk machine" since its essential business is:
- Taking on risks that other entities do not wish to bear, adding to a better risk sharing allocation in the economy,
- Transforming them, by exploiting sophisticated tools and knowledge skills it possesses, and
- Incorporating them into products and services it offers to other economy participants who wish to enhance their investment's return, notwithstanding a possible increase in risk.
It is hence obvious from the above that successful risk management is an essential factor of the institution's profitability and offers an important comparative advantage in banking competition.
There are numerous analytic tools available for efficient risk management, all of them based on widespread use of data, statistical and quantitative analysis, predictive and explicative models guiding decisions and actions of the institution. Consequently, they improve strategic decisioning, business planning, obligor selection and pricing, as well as understanding and managing the respective portfolios.
Necessary elements to the success of these tools are, nevertheless, their appreciation by top management, the use of the results for real change and innovation in the organization and, above all, clear and well-defined objectives.
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Absolute Return Mutual Funds and Risk Budgeting (Siokis Dimitrios), CV Details
Fund managers have been recently offering a series of client solutions that target higher returns than Money Markets by assuming risk across different asset classes and packaging the end product as a Cash-Plus solution, taking advantage of the low interest rate levels and the evolution of hedge funds.
In order to achieve this, Fund Managers employ new asset allocation and risk management techniques. The technique of Risk Budgeting is core to the evolution of the Cash-Plus solutiond and is a an example of how Fund Managers and Risk Management can work together in order to package competitive, risk-disciplined products to their clients.
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Mutual Funds. Hedging and Speculation with Derivative Products (Siokos Stavros, Ph.D.), CV Details
Institutional investors have for many years now used a wide variety of derivatives to optimise their risk/return profiles at both strategic and tactical asset allocation levels. It is only lately that pension schemes and their sponsors are beginning to look more closely at particular class of derivative, namely: equity derivatives. these instruments are useful since they can alter the equity portfolio risk and return profile in ways not possible in the cash/physical asset market.
Although in terms of structuring a "one size fits all" model is popular in the retail sector, this approach is not particularly robust for institutional investors, who invariably need tailored advice to meet their specific objectives. Indeed a one size fits all approach for institutional investors might do more harm than good.
In this session we will discuss some of the latest state of the art derivative tools that pension schemes are utilising in order to implement their strategies
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Volatility Derivatives (George Skiadopoulos, Ph.D.), CV Details
First, the underlying assets to volatility derivatives will be presented. We will focus on implied volatility indices and we will outline their construction, properties and potential applications. Then, the volatility derivatives markets will be described (volatility futures and options, volatility and variance swaps). Finally, a brief description of pricing models for volatility derivatives will be offered.
Weather Derivatives (George Skiadopoulos, Ph.D.), CV Details
First, the underlying assets to weather derivatives will be presented. We will focus on temperature indices and we will describe their construction and properties.
Then, the temperature derivatives markets (HDD, CDD, CAT futures & options) will be described.
Finally, alternative approaches to pricing weather derivatives will be mentioned briefly.
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Derivative Contracts on Real Estate (Tsekrekos Andrianos, Ph.D.), CV Details
Initially, a historical review of the investment needs that led to the development of derivative contracts on real estate is attempted. This is followed by a presentation of the initial OTC transactions on property derivatives and the subsequent development of exchange-traded futures and futures options on housing indices (e.g. S&P/Case-Shiller Home Price Index). Emphasis is given on the way the underlying indices are calculated, the specifications/characteristics of the futures and option contracts and their settlement arrangements. Lastly, the types of investor interested in property derivatives and the recent developments in Greece are discussed.
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Are Structured Products for Retail Investors or Only for Some Investors with specific criteria? (Flamouris Dimitrios, Ph.D.), CV Details
How do they work? By buying a structured note the investor foregoes the interest that he would receive had he deposited her/his money in the bank.
Capital guaranteed products: In this category the bank promises to return the full capital to the holder of the note after a certain time period which usually varies between one to ten years, The longer the maturity of the product the more the interest the investor foregoes, hence the better the terms she/he should expect to get.
Examples of such products with payoff diagrams.
Risk analysis: These products are low risk since the biggest amount the investor can lose is the interest on his capital. However, there are different categories of such products with respect to their risk exposure.
Examples of products with low and high risk.
Non capital guaranteed products. In this category of products the bank promises to return to investors part of the capital back or none at all for a time period that usually varies between 3 months and 5 or more years.
Examples of such products with payoff diagrams.
Risk Analysis: These products have very high risk as the investor can lose the whole of the invested capital. In return for that products in this category can potentially have very high returns either due to high leverage or with the possibility of very high coupons to be paid at some point in the future.
Examples of products with low and high risk.
Conclusion. Capital guaranteed structured products can only result in a loss of the interest on the invested capital. Through such products the investor can gain access to markets where she/he otherwise would not be able to invest. For the novice in financial investing, these are the products she/he should start investing in.
The investors that should participate in the other category of products should have full understanding of the risks involved in such investments and they should be able to evaluate correctly the risk return relation that every product has to offer. Under the right circumstances these products can prove to be investments with very high returns ever over a short period of time.
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Credit Derivatives (Chalamandaris George, Ph.D.), CV Details
This presentation deals with the market of Credit Derivatives, its dynamics and diversity and the strategies that large corporates can employ in order to hedge their exposures with the use of the Credit Derivatives technology. Such strategies involve:
- Hedging of "Country Risk" when an expansion to this country is scheduled.
- Hedging of the "Dominant Client Risk" when the client basis is concentrated to few large clients.
- Hedging of the "Dominant Provider Risk" when own production is heavily dependent on few favoured providers.
- Hedging of "Sector Risk", especially when the company wants to reduce the effect of inherent seasonal patterns and cyclicalities.
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