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CFA Society Rochester, Invited Keynote
The CFA Society: Invited Keynote: Dr. Yogesh Malhotra: AACSB has recognized considerable real world impact of Dr. Yogesh Malhotra's research in its Impact of Research Report among others such as Black-Scholes, Harry Markowitz & William Sharpe. Insight: While all are busy measuring and modeling risk, it is uncertainty management that is of real practical relevance as it always had been before and is now even more so: We introduce Risk Management Models using JP Morgan’s pioneering focus on Investment Performance, Analytics, and Risk. We build understanding about Model Risks with focus on Value-at-Risk (VaR), the most prominent financial risk valuation models in use across global practices. AI & Machine Learning (ML) are introduced in terms of the Statistical Probabilistic Analytics underlying the performance of such Models. We advance beyond Normality and Linearity assumptions with sophisticated Models while introducing Bayesian Inference as a complement to above models to mitigate Model Risks often attributed to Frequentist Methodologies. AI & ML Algorithms and Models from the JP Morgan AI-ML portfolio motivate focus on Big Data driven Automated Machine Learning to enable Model Risk Management inspired by Goldman Sachs’ pioneering focus on Model Risk Management and Uncertainty Management. Advancing beyond Risk to Uncertainty which is increasingly characterizing emerging global financial markets, we underscore the need for Augmented Intelligence characterizing Smart Minds smartly using Smart Tools with illustrative cases and examples. |
