Q-Group Monthly Lunch Series - Maximizing RAROC: A risk-based approach to portfolio optimization

31 Oct 2019

Emilian Belev (Northfield)


RedOak Beer Cafe
201 Clarence St, Sydney


Short bio: Emilian Belev has led the research and development of Northfield's Enterprise Risk Analytics at Northfield for about two decades. Emilian is an actively involved CFA charter holder, a recipient of the Certificate in Advanced Risk and Portfolio Management, and a member of the PRMIA expert advisory group for Market Risk. Emilian is a winner of the 2013 Professional Risk Management International Association Award “New Frontiers in Risk Management”, and recipient of the 2015 American Real Estate Society Award for Best Practitioner Research.

Additional notes: Money managers and banks typically have a different emphasis with regard to risk. While money managers focus on risk factors and mean-variance criterion, banks are interested in binary outcomes such as solvent/not solvent, or compliant/not compliant. The RAROC approach attempts to bridge this gap. Specifically, RAROC uses a preference function that incorporates all moments of risk-adjusted returns, while simultaneously appealing to the incentives of money-managers and banks.

As per usual, we will aim for a 20-minute presentation, followed by lunch and a (lightly) moderated discussion.

If you would like to attend, please rsvp using the following link:


We will respond to all rsvps so that you can be certain whether a spot has been allocated.

If you are interested in being the discussion leader for a particular topic, then please contact us at qcommittee@qgroup.org.au. In the long-term, our aim is for most (all?) members to lead a discussion at a lunch series event, so please do not be shy in contacting the committee.

Kind regards,

The Q-Group Committee
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