I’m a 22 yo, recent graduate in mathematical finance with a specific focus in Risk management. Although I know quantitative finance isn’t the same as risk, I’ve been trying to work on my automated hedging, and ML based VAR calculations of portfolios. It’s really nice to see a forum which is focused on a specific field. Hope it reaches a true influx of users.
Continuing the post style my current read is: A demon of our own design by Richard bookstaber. He gives a comprehensive perspective on risk management failures and success throughout various countries and his previous experience with Salomon brothers before it’s collapse. Highly reccomend!
Hi Sam and welcome.
I certainly do think that risk management is quant. 100%
My PhD area was indeed VaR, and it’s such a multi-discipline topic.
Any data set in which you have a choice of model, say parametric or not, mean you have to understand what is best in that situation, and how it will scale.
I haven’t explored “ML” per se in VaR, as I was looking at MCMC, which in my book is machine learning as the model learn from the feedback the data gives in in order to generate the chain.
Good to get some young blood in this industry and to this site specifically.
If you do find anything cool worth sharing in the above, please post it on the site as I would be very interested in seeing how model ML can help in this topic.
Cheers,
Tino
I will for sure. I do assume it’s quantitative but throughout the internet Quants are regarded as model developers and not just calculations so i had assumed Quants and Risk are mutually exclusive haha.
Either way, you’re right MCMC is basically ML. Even the neural net devs in comp sci use MCMC from what I know. I will post in the future for sure, although I’m not very confident with my skills haha.