PRM/Moody’s : Introducing Illiquid Investments to Total Portfolio Management and ERM, April 30, 2014 at 12 pm US ET

Presented by Emilian Belev, CFA, ARPM

Head Enterprise Risk Analytics, Northfield Information Services Inc.

Wednesday, April 30, 2014 at 12 pm US Eastern Time

The rigorous risk analysis of illiquid investments like real estate and infrastructure alongside publicly traded investments in an ERM setting has been an object of many attempts, with little practical success until now.  This presentation will outline the details of a new risk model designed for this task.  The model is based in the philosophy of breaking complex investments down to their elemental pieces, and intuitively reassembling them into a coherent whole, using a general risk factor framework. The immediate benefits of this approach are two: a) it enables the rigorous risk measurement and estimation of the relevant factor exposures of investments with unobservable price time series, and b) it allows the seamless integration of measured risks of liquid and illiquid investments.  We present evidence supporting the model results, and share the actual experience of a large scale implementation at a major pension fund.

In particular, we will focus on the following issues:

  • The practical challenges of illiquid investments to risk management
  • The elements of illiquid investment risk
  • Identifying appropriate risk drivers for each of those risk constituents
  • Finding appropriate observable real world measures for the success of a model of the unobservable
  •  The practical implications of setting up such a model in the investment process

The presentation is well suited for Investment Officers, ERM professionals, long term investors, asset managers, senior real estate and infrastructure research staff, as well as academics.

Register here :



The Association of International Wealth Management of India (AIWMI) is a not-for-profit organization and a globally recognized membership association for finance professionals. AIWMI primarily focuses on the broad and strategic role of developing a more robust and forward-looking training infrastructure for the financial services sector and to promote more active industry involvement and collaboration in training and continuing education. AIWMI is offering advanced international certification programs along with a wide variety of high-quality executive education programs. AIWMI programs combine state-of-the-art knowledge and skills with practical experience and insights into the functioning of the financial sector. All AIWMI courses and educational events have an intense and pragmatic curriculum. Participants are exposed to the latest developments within the financial services sector. AIWMI plays a key role in guiding the development of the financial services sector. AIWMI works with key industry participants’ viz. the Government, the Regulators, the Industries/Associations, the Corporate, the Media and the General Public to achieve its objectives. Besides enhancing technical competence and professionalism in the industry, AIWMI organizes events and facilitates discussions to promote best practices in leadership and talent development in the financial sector with an aim to become Asia’s premier center of excellence for financial education.

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