Contemporary Problems in Market Risk Modeling
We present some modern problems in market risk modeling. Market risk regulations are in the process of changing at the Basel level. This represents new and active areas of R&D for Quants in the risk management space, particularly in banks, insurance companies and large buy-side institutions. The spectrum is broad, from highly theoretical aspects such as elicitiblity of expected shortfall, or invariance of FX risk capture, to highly applied areas such as the modeling of rarely observed variables.
Hany Farag is Senior Director and Head of Risk Methodology and Analytics at CIBC. Prior to his current position he was a partner at Eastmoor Capital Partners, LLP; Managing Director and Head of FX Statistical Arbitrage at CIBC; and Head of Quantitative Research at OANDA Corporation. Prior to his industry positions he was a Postdoctoral Fellow at Caltech and at Rice University. He holds a PhD in Mathematical Analysis from Yale, a MS in Theoretical Physics from Yale, and a BSC in Electronics and Communication Engineering from Ain Shams.