Our vision

Risk management


Risk management is one of the cornerstones of our business. We have developed many different tools to assess the risk of our trading portfolios, such as volatility and value at risk analysis.

Risk management plays a role at two different levels: at the allocation level, risk management ensures that the risk is fairly distributed between markets and strategies, and at a portfolio level, to ensure that the risk is fairly distributed over time. This "no bet" approach is one of specificities of Rivoli's approach.

Risk is assessed ex-ante (i.e. before the action), taking account of recent risk characteristics of markets and strategies traded, and also ex-post (i.e. after the action), in order to reconcile the anticipated risk and the actual one. We also conduct stress tests based on historical data, and also on "what if" analysis showing what could happen in extreme situations which have not in fact happened in the past.

One of the more complex issues in risk management is the risk of correlation, which can not be assessed easily because, as we all know, correlations do change in stressed environments. We have developed specific tools to address this issue.   

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