In this lecture, I will review different practical risk management and modeling challenges that I encountered during the course of my career (inclusive of my Ph.D years). My review will highlight how the landscape has changed. For instance, while modeling exotic derivatives was the main activity for quants in the late 90s, capital optimization is the most important consideration today.
- Start date: 2016-02-16 11:00:00
- End date: 2016-02-16 12:30:00
- Venue: 639 Evans Hall at UC Berkeley
- Address: 639 Evans Hall, Berkeley, CA, 94720