Modern financial risk management has developed a number of widely accepted best practices for risk measurement based on identifying systematic market and economic factors that drive asset performance. Risk is typically captured by stressing factor returns based on historical observation, estimating factor return covariance, or projecting factor behavior from economic forecasts. A number of interesting challenges remain in modeling risk, and this talk will focus on recent research in the areas of factor modeling, factor covariance estimation and estimation of total plan risk for portfolio with private and public assets.
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