Financial Data Science & Risk Management Program
Adapting familiar multi-factor modeling techniques to a new framework, Equity P/E Factor Models explain equity prices based on how firms generate profits (or not), delivering useful insights such as factor valuations that signal “alpha periods” and market premiums that reflect market expectations for firm-specific growth.
Comprehensive Capital Analysis and Review (CCAR) and Dodd Frank Annual Stress Testing (DFAST) is the most quantitative and the most comprehensive exercise of modeling and analysis to assess aggregate risk and to ensure capital sufficiency for large banks operating in United States. Talents in CCAR and DFAST are among the most demanded in the current job market.
We discuss the seven common biases in model building. We compare various data normalization techniques; address the issues of signal decay/turnover/transaction costs; illustrate the asymmetric payoff patterns and the impact of short availability; show the optimal rebalancing frequency; and compare active management via multi-factor models versus smart beta investing via factor portfolios.
