Syz Asset Management
Dr Benoit Vaucher, CFA is a portfolio manager at Syz Asset Management, formerly at Lombard Odier Asset Management. He started his career in finance at RiskMetrics, where he worked on a number of projects involving yield curve modelling and fixed-income performance attribution. He next moved to Swiss-based asset manager Unigestion, where he was responsible for developing equity strategies and portfolio optimisation. Ben earned a Master in Physics at EPFL, and a PhD in theoretical physics from Merton College, Oxford. He is a CFA charter holder.
In the context of equity investments, this paper examines the relationship between the cost of acquiring protection (in the form of put option) and the reduction of capital charges that it entails. The paper develops the idea that Solvency II regulations…