Brand new paper “Machine Learning Risk Models” https://ssrn.com/abstract=3308964 gives a new algorithm and source code for building non-factor risk models using machine learning techniques. It also compares them empirically to other risk model constructions.
Market Risk
ModelRisk: FREE Risk Modelling within Microsoft Excel
ModelRisk is a Monte Carlo simulation FREE Excel add-in that allows the user to include uncertainty in their spreadsheet models. ModelRisk has been the innovation leader in the marketplace since 2009, being the first to introduce many technical Monte Carlo method features that make risk models easier to build, easier to audit and test, and […]
What do 101 real-life Quant Trading Signals look like?
Paper “101 Formulaic Alphas” https://ssrn.com/abstract=2701346 (freely downloadable PDF) gives explicit formulas – which are also computer source code – for 101 real-life quantitative trading signals (alphas). 26,000+ downloads.
Market and Model Risk Management in Excel for free
Market Risk Management is a complex field that demands, among other things, three fundamental aspects: Access to market data – both real-time and historical; A good understanding of the applicable valuation models and, above all; Available implementations of at least a few of these models. In addition, these models must be implemented in a user […]
The Global Risks Report 2018
Similarly as last year, we are publishing the most recent Global Risks Report 2018, 13th Edition, by the World Economic Forum. At a glance, the Global Risks Landscape will give us a clear overview of the Risks considered for 2018, from an impact and likelihood perspective, with the risks being laid out in a matrix […]
EBOOK: Value-at-Risk – Theory and Practice
“Value-at-Risk – Theory and Practice” second edition is an eBook written by Glyn A. Holton and published in 2014 by the author as a full web based totally free eBook, available in www.value-at-risk.net. If you want to learn in depth about VaR, this is definitely the eBook for you. Don’t miss this great opportunity. About the […]
8 Risk Management Blogs You Must Follow
We are avid consumers of every piece of content related to Risk Management. In fact, this was one of the key drivers when we decided to launch our Risk Management Guru blog. The whole idea is to use this platform to share and distribute any relevant Risk Management content or publication that we feel might […]
VIDEO: Risk Management Webinar – Theory vs Reality
This free webinar, courtesy of IC Markets, focuses on practical and crucial Risk Management aspects to consider from a front office point of view. You will learn what are the important aspects to look for when actively trading in financial markets, including insights on fundamental and technical outlook on all major markets (for indices, FOREX, commodities and others […]