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. 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  

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.