Benoit Vaucher

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.

Articles by Benoit Vaucher

Investments

Impact of hedging strategies on variable annuities

Put options may reduce the cost of hedging strategies for insurers

01 Mar 2021

Original research

Optimal equity protection of Solvency II regulated portfolios

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…

09 Feb 2018

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