1. DAN PIRJOL (JP Morgan)
2. HAMED FIROUZI (Goldman Sachs)
1. Tail risk in finance and society
2. Data Science in systematic trading and risk management
Date: Friday, February 22, 2019
Place and Time: Room 101, Love Building, 3:35-5:30 pm
Refreshments: Room 204AB, Love Building, 2:00 pm
This colloquium is part of the 2019 Financial Mathematics Quant Symposium.
Abstracts. 1. Tail risk estimation is a topic of great interest in finance, insurance and risk management. Tail risk events are frequently associated with power law (Pareto) distributions. The talk reviews several proposed stochastic models which can generate power law distributions. One important class of such models is based on linear stochastic recursions. The class of GARCH models is of this type. As an application we present a criterion for tail risk monotonicity in GARCH(1,1) under temporal aggregation.
2. Applications of statistical modeling and machine learning in finance with a focus on algorithmic trading and quantitative risk management will be discussed. Additional connections to the evolving cryptocurrency market will be explored. I also address some of the necessary skills for a successful career in this space.