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Quantifying Model Performance in Financial Risk Engineering

Offered By: New York University (NYU) via YouTube

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Quantitative Finance Courses Risk Management Courses Derivatives Courses Arbitrage Courses

Course Description

Overview

Explore the intricacies of quantifying model performance in this comprehensive lecture from the Brooklyn Quant Experience (BQE) Lecture Series at New York University. Join Alexandre Antonov, Chief Analyst at Danske Bank, as he delves into topics such as replication, financial portfolio inversion, expectations, and conditional expectations. Learn about arbitrary strategy replication, financial meaning, hedging payoff, and daily recipe implementation. Discover extra conditions and gain valuable insights into model performance quantification in the financial industry. This in-depth presentation offers a unique opportunity to enhance your understanding of quantitative finance and risk management techniques.

Syllabus

Intro
Outline
Features and Issues
Replication
Financial Portfolio
Inversion
Expectations
Conditional Expectations
Arbitrary Strategy
Replication Financial Meaning
Hedging Payoff
Daily
Recipe
Extra Conditions
Conclusion


Taught by

NYU Tandon School of Engineering

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