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"Measuring portfolio risk with a proxy-based framework and parametric bridge.”
Jonathan will explore his approach to investment risk and the methodology South Carolina developed internally to quantify risk on a sub-asset class basis. He believes this approach can explain 90% of total and active investment risk with less than 10% of the cost of a traditional risk model by employing simple volatility decompositions across a robust public proxy framework.
Speaker:
Jonathan Graab, Risk Officer, South Carolina Retirement System Investment commission
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