The identification, assessment, and prioritization of risks, followed by coordinated and economical application of resources to minimize, monitor, and control the probability and/or impact of unfortunate events or to maximize the realization of opportunities.
26
votes
5answers
1k views
What are the key risks to the quantitative strategy development process?
Prompted in part by this question on data snooping, I would be interested to know:
What are the key risks that should be considered when developing a quantitative strategy based on: (a) historical ...
14
votes
4answers
1k views
How are risk management practices applied to ML/AI-based automated trading systems
A potential issue with automated trading systems, that are based on Machine Learning (ML) and/or Artificial Intelligence (AI), is the difficulty of assessing the risk of a trade. An ML/AI algorithm ...
10
votes
4answers
782 views
What books should any quantitative portfolio manager or risk manager have as reference? [closed]
I'm interested to know what are the critical reference texts you rely on for portfolio or risk management? I mean those texts that you come back to because they are chock full of insight and know-how. ...
3
votes
2answers
10k views
How to calculate unsystematic risk?
We know that there are 2 types of risk which are systematic and unsystematic risk. Systematic risk can be estimate through the calculation of β in CAPM formula. But how can we estimate the ...
6
votes
1answer
298 views
What distribution should I apply to estimate the likelihood of extreme returns?
Say I have a limited sample, a month of daily returns, and I want to estimate the 99.5th percentile of the distribution of absolute daily returns.
Because the estimate will require extrapolation, I ...
1
vote
1answer
616 views
Calculating portfolio allocation beta with different asset classes?
I'd like to calculate portfolio allocation beta on a portfolio that has different asset classes. The portfolio may be made up of:
...
