Analytical investment approaches for insurers and asset managers

Summary

Our speakers will share their experiences in implementing analytical approaches for investment management. Claus Huber will discuss the implementation of the Black/Litterman model for Helvetia’s strategic asset allocation, and will highlight the decision making and learning process behind this. Kai Schnee will discuss SigmaQ’s novel approach to the measurement of corporate default probabilities and provide some use cases in the area of credit risk early warning, credit risk sensitive valuations, macro-economic modelling and the approximation of CDS spreads for companies without traded CDS.

Presenters

• Dr. Claus Huber: Head of Quantitative Modeling and Analytics at Helvetia Insurance in Basel, Switzerland, where his team develops digital tools for strategic and tactical asset allocation, risk budgeting, overlay management, manager selection, visual representation of complex data structures, and a few more. In previous roles, he developed new investment products for Quantitative Multi-Asset Funds and, as Head of Digital Transformation, drove the development of new tools and data products that allow smart data usage and sharing. In former roles he advised clients on risk management and quantitative investment solutions, for example a Machine Learning approach to select hedge fund managers or as CRO for a credit hedge fund. He has extensive experience as lecturer, entrepreneur, risk manager, credit strategist, hedge fund analyst, and government bond trader, and has worked for hedge funds, banks, and insurance companies.
• Dr. Kai Schnee: Founder and Managing Director of SigmaQ Analytics. SigmaQ Analytics, based in Zurich and founded in 2019, is a Swiss Fintech that provides a range of credit risk data, including corporate default probabilities for 35’000+ companies from 70+ markets, as well as customized analytical solutions. We deliver our data and services to insurers, reinsurers, energy traders, banks and asset managers, among others. Prior to founding SigmaQ Analytics, Kai has held various positions at Swiss Re, ZKB, New Re and Fintegral as risk manager, portfolio manager, structurer and in consulting. In his early career he worked as scientific researcher in theoretical quantum physics at the Erwin Schroedinger Institute in Vienna and at the California Institute of Technology, Pasadena CA.

Welcome and moderation by Anton Seidel, Board Member Swiss Risk Association and Financial Markets Reinsurance at Swiss Re.

Agenda

17:45 Doors open – Name Tag Collection
18:00 Welcome & Introduction (Anton Seidel, Walter Farkas, Ioannis Akkizidis)
18:05 1st Presentation (Dr. Claus Huber)
18:30 2nd Presentation (Dr. Kai Schnee)
18:55 Q&A and Closing ​(all)
19:30 Networking drinks (all)
20:30 End

Chapter Event

This Chapter Event is available to members and free. We will be presenting one or more speakers to share their knowledge, updates and best practices on a specific risk topic. Within the small groups of risk professionals you can exchange thoughts and test ideas. This event is hosted by chapter “Analytical Methods“.