“Safety on Board” - How to Protect Equity Portfolios with Risk Signals Based on BCP Models

Financial Markets Use Case #01 – April 2018

This paper is part of a series of OpenMetrics Solutions use cases, which we publish regularly. The aim is to provide investment professionals with additional insights into concrete problem-solving approaches.

The current use case “How to Protect Equity Portfolios with Risk Signals Based on Bayesian Change Point Models” explores the potential of improving the risk/return profiles of equity portfolios by using well-grounded mathematical algorithms, which have proven to function in real world applications.

All methodologies used, are based on academic research and generally available on public domain. However, the implementations of the advanced risk management algorithms are intellectual property of OpenMetrics Solutions LLC and are available through SaaS (Software as a Service). The current study has been produced independently by OpenMetrics Solutions without any remuneration by an external party. The data for the selected indices are all publicly available.

This use case has been developed in cooperation with STOXX Limited, STOXX Ltd. Theilerstrasse 1a, 6300 Zug, Switzerland. Contact: europe.sales@stoxx.com.