Speaker: Alec N. Kercheval
Title: Investment Risk Modelling for Mathematicians.
Affiliation: BARRA.
Date: Friday, January 19, 2001.
Place and Time: Room 101 - Love Building, 3:35-4:30 pm.
Refreshments: Room 204 - Love Building, 3:00 pm.

Abstract. Will Rogers best described the old approach to investment risk before 1959: "Buy a stock. If it goes up, sell it. If it doesn't go up, don't buy it." Thinking has become more sophisticated since then. Markowitz (1959) and Sharpe (1964) ushered in a quantitative framework for understanding risk, which is still being elaborated. In this talk I will describe the framework of the industry-standard multifactor risk models used at BARRA. I hope also to discuss some of the mathematical difficulties that have arisen in a current project of aggregating risk models across correlated markets.