risk_reporting

LQG 2023/10/12 – 18:30 – Evaluating and Comparing Risk Model Performance – Jose Menchero – at Bloomberg – Hybrid

Evaluating and comparing risk model performance for risk forecasting, portfolio construction and return attribution – a comparison framework.

LQG 08/03/22 – On-Line – Risk under uncertainty and price movement – Anish Shah

by LQG

This paper models weights and parameters as uncertain. Evaluating a portfolio across the range of possibility measures risks better and surfaces latent fragility. Contributions to risk are reported with a center and spread.

LQG Speakers and topics since 2007:

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risk_reporting

LQG 2023/10/12 – 18:30 – Evaluating and Comparing Risk Model Performance – Jose Menchero – at Bloomberg – Hybrid

LQG 08/03/22 – On-Line – Risk under uncertainty and price movement – Anish Shah

LQG Speakers and topics since 2007:

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