Is the worst behind us? Or is it still to come? With many countries battling the rising number of confirmed cases of Covid-19, it is essential for us to take into account how the initial sweep of the pandemic can inform our decisions moving forward.
In this issue, we explore the key areas that quants need to keep a closer eye on, like the economy, modelling, machine learning, and portfolio management. We hear from Ed Altman who is sharing his latest research into default and recovery rates, while Brian Kozeliski shows us the best way to assess asset managers' performance. We also get a glimpse into how Marshall Chang uses reinforcement learning to help us through these volatile market shifts, and Jing Zou summarises the latest challenges in model risk reporting in 2020.
These experts will also join us in September to further elaborate on their research and experiences at QuantMinds Americas. We hope to see you there, but in the meantime, stay safe, and enjoy!
The QuantMinds Team
Vincent Beard, Editor-in-Chief, QuantMinds
Ed Altman, Stern School of Business, Max L. Heine Professor of Finance, New York University
Jing Zou, Managing Director at Enterprise Model Risk Management, Royal Bank of Canada
A reinforcement learning approach Marshall Chang, Founder and CIO, A.I. Capital Management
How unintentional bets are hurting your performance Brian Kozeliski, Lecturer, CQA Institute at Wilkes University
How can you prepare for volatility spikes by hedging feedback loops Aymeric Kalife, CEO, iDigital Partners and Adjunct Professor, Paris Dauphine University
We asked the experts: what's the biggest thing you've learnt this year?
From our learning partner IFF
