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Develop a Tail Hedge Strategy with S&P 500
Nan Xie
Nan Xie
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Develop a Tail Hedge Strategy with S&P 500

Use Python and SQL to analyze performance of investment strategies and recommend the optimal strategy for minimizing extreme loss from market downturn.

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Tuesdays
 at
4:30
P.M.
 ET /
1:30
P.M.
PT
8 weeks, 2-3 hours per week
Intermediate
No experience required
No experience required
Some experience required
Degree and experience required

Description

Under the tangled global impacts from all directions, the turbulence of the current financial market makes it hard to predict and invest. At this moment, studying tail risk (known as the extreme loss from an asset or portfolio and represented at the left tail of the return distribution) and designing tail hedge strategies has become more critical to protect against severe market distress. In this project, you'll wear the hat of Financial Engineer and study tail hedge strategies as potential investment models for controlling significant drawdown risks. Under the supervision of an experienced Build Fellow, you'll construct, implement and measure the performance of tail hedge strategies empirically using more than 15 years of index and option data. You'll also formulate your own opinion on the strategies’ behavior for the future potential market move and provide cost-effective recommendations for clients. You will use Pandas, Numpy and Matplotlib Python libraries to analyze strategies and build your own functions on selecting, exiting and entering option positions.

Session timeline

  • Applications open
    August 1, 2024
  • Application deadline
    August 25, 2024
  • Project start date
    Week of July 8, 2024
    Week of
    September 9, 2024
  • Project end date
    Week of

What you will learn

  • Perform data preprocessing
  • Gain in-depth understanding of risk management
  • Develop a financial model on their own
  • Gain working knowledge of SQL query and Python
Build Projects are 8-week experiences that operate on a rolling basis. Selected participants engage in weekly live workshops with a Build Fellow and 2-15 other students.

Project workshops

1
Introduction to Financial Strategies
2
Understand and Measure Tail Risk on S&P 500 Index using Python
3
Design & Implement Tail Hedge Strategy with Python I
4
Design & Implement Tail Hedge Strategy with Python II
5
Design & Implement Tail Hedge Strategy with Python III
6
Understand and Measure Tail Risk on S&P 500 Index
7
Advanced Performance Analytics and Attributions
8
Presentations

Prerequisites

  • Basic knowledge of financial market and derivative products with fundamental financial risk management: you should know the concept of index, option and market risk management.
  • Basic Python skills: you should know how to use libraries such as Pandas or Numpy and how to create functions.
  • Basic statistical and data analytic skills with visualization tools: you should be able to calculate daily return, volatility and build time series data visualization.

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About the expert

Nan is a Finance Fellow and currently working for Volos as a senior index engineer. Nan previously worked for Intercontinental Exchange, specializing in margin modeling, financial product proxying, and financial data analytics. Nan holds an M.S. in Quantitative and Computational Finance from the Georgia Institute of Technology.

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