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Introduction to Equity Risk Models: Guest Speaker Ben Lieblich

In a recent Fundamental Edge webinar, our Chief Data Scientist Ben Lieblich shared a comprehensive overview on equity risk models.

In a recent Fundamental Edge webinar, our Chief Data Scientist Ben Lieblich shared a comprehensive overview on equity risk models. Attendees gained practical knowledge on subjects such as trades, risk baskets, and factor drivers. The accompanying video promises a deeper dive into these critical aspects, offering a valuable resource for professionals in the dynamic world of fundamental investing.

Topics include:

Background of factor models  

  • Basic Standard deviation calculation
  • Capital asset pricing model 
  • Fama French three-factor model 
  • Wolfe QESUS Model (latest one) 

Risk Decomposition

  • Volatility, % Contribution by Factor Group 
  • Volatility, % Contribution by Factor 
  • Volatility, % Contribution

 

Covariance Matrix

  • Co-volatility 
  • Correlation 

 

Factor Returns

  • Cumulative Factor Returns
  • Factor return time series 

 

Trades

  • Simulation Risk Pre vs Post 
  • Pre- and Post-trade Factor exposures 
  • Factor exposure changes

 

Risk Basket 

  • Portfolio 
  • Basket constituents 
  • Pre- and Post-risk
  • Risk Details 

 

Factor drivers 

  • Return Attribution 
  • Total, Factor and Specific returns 
  • Price 
  • Factor contribution 
  • Factor returns 

 

In this video release deepen your understanding of equity risk models and tips on practical implementation.

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