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“Tail Risk Management – How to Identify, Forecast and Manage the Risk of Extreme Negative Events”

Featuring

James Xiong, Ph.D., CFA

Head of Quantitative Research

Morningstar Investment Management

If there’s one word investors use to describe the markets over the past few years, it’s unpredictable. Unforeseen events were everywhere. Thus“tail risk”, or the risk of extreme negative moves in the market, has been a frequent topic of conversation among market participants. Tail risk management is very relevant to whole economies, markets and investors. Its impact ranges from economic recession, market crashes to significant investment losses.

Dr. James Xiong has conducted extensive researches in tail risk with recent publications in practitioner’s top journals and a professional book that will be published in China. In his researches, Dr. Xiong uses the log-periodic power law model (from geophysics) to analyze numerous case studies including the crash of 1929, 1987, the Asian Crisis of 1997, the internet collapse of 2000, and the financial crisis of 2007 and 2008 and illustrate that tail risk matters, can be forecast, and can be managed. In this presentation, Dr. Xiong will share his research results with us, which can be applied to several sectors in finance industry, including traditional asset management, hedge fund, trading, risk management and regulation.

Tuesday, November 19th, 2013

5:00 p.m. – 7:00 p.m.

The Union League Club of Chicago

Colonial Room 830, 8th Floor

65 West Jackson Blvd

Chicago, Illinois

Speaker's Bio

James Xiong is head of quantitative research for Morningstar Investment Management. He leads and develops new methodologies and algorithms that deal with tail risk management, momentum investing, portfolio optimization, strategic and dynamic asset allocation, insurance product allocation, mutual fund selection, alternative asset class investments, simulation-based wealth forecasting, and other investment and financial planning areas. He also conducts extensive research on the investment industry and provides research support for the consulting and software development teams.

Xiong’s work has been published in the Financial Analysts Journal (FAJ, 12/2012; 3/2012; 2011; 2010), Journal of Risk Management in Financial Institutions, Journal of Portfolio Management, and Journal of Financial Planning, among other publications. Three of his papers have been among the top 10 downloads for a set of Social Science Research Network (SSRN) journals. Xiong co-authored “Liquidity Style of Mutual Funds,” which received a 2012 Graham and Dodd Scroll Award from the FAJ.

Prior to assuming his current role in 2013, Xiong served as a senior research consultant for Ibbotson Associates since 2007. From 2003 to 2007, he was a quantitative analyst for Morningstar Associates. He joined Morningstar as a software engineer in 2000.

Earlier in his career, Xiong was a researcher at Argonne National Laboratory, Northern Illinois University, Brookhaven National Laboratory, and the University of Houston. He has published more than 15 papers in scientific journals, including Physical Review Letters, a prestigious world journal in physics.

Xiong holds a bachelor’s degree in physics from Wuhan University in China and a master’s degree and a doctorate in physics from the University of Houston. He also holds the Chartered Financial Analyst® designation.