ZQFA Meetup #26: Dynamic Currency Hedging

We are very happy to invite you to the first virtual ZQFA Meetup this year. It is our great pleasure to announce our guest speaker, Urban Ulrych, PhD student at UZH and Quantitative Strategist at Credit Suisse. In this meetup, our guest will guide us through one of his most recent papers on Dynamic Currency Hedging, and will share his insights and experience on the PhD opportunities that the University of Zurich has to offer.

Urban Ulrych – PhD candidate (UZH) / Quantitative Strategist (Credit Suisse)
Topic: “Dynamic Currency Hedging with Non-Gaussianity and Ambiguity”
Abstract: This paper introduces a non-Gaussian dynamic currency hedging strategy for globally diversified investors with ambiguity. Assuming that ambiguity of a typical investor can be measured from market data, we associate it to non-Gaussianity of financial asset returns and compute an optimal ambiguity-adjusted mean-variance (dynamic) currency allocation. Next, we extend the filtered historical simulation method to numerically optimize an arbitrary risk measure, such as the expected shortfall. The out-of-sample backtest results show that the derived non-Gaussian dynamic currency hedging strategy outperforms the benchmarks of constant hedging and dynamic hedging with Gaussianity for all base currencies and net of transaction costs.
Link: Dynamic Currency Hedging with Non-Gaussianity and Ambiguity

As we already successfully experienced for previous events, the event will be held on Zoom due to the current COVID-19 measures. You can join at the following link:

Zoom Link

After a the talk, we will have a Q&A session and then we would like to set up breakout rooms to have a more interactive and informal networking.

Looking forward to seeing you at the event!

Your ZQFA-Team