Webinar

Risk Modeling Ahead of an Election: How to Think of Tail Risk When Markets Are Changing

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Bloomberg is introducing Filtered Historical Simulation (FHS) into its MARS Market Risk System. FHS responds quickly to volatility regime changes while capturing tail risk in line with historical precedent. 

Join this webinar to learn:
- What kind of volatility regime are we entering?
- Responsiveness of different risk methodologies when market conditions change.
- Filtered Historical Simulation: combining strong responsiveness to market changes with tail risk modeling.
- Stress testing as a complement to simulation models when we know what we are worried about.
- Modeling macroeconomic events with predictive stress testing.

We will illustrate with a particular case study focusing on the upcoming US election.

Speakers

Eugene Stern

Head of Market Risk Product

Bloomberg

Eugene Stern is the product head for MARS Market Risk, a Bloomberg platform that ties together the firm’s market data, reference data, and instrument-level analytics into a market risk offering for both risk managers and the front office. He helped start the business and has held a number of different leadership roles in product management, implementations, and client services. Prior to Bloomberg, Eugene spent ten years at RiskMetrics, where he started as a quant researcher, building models for market and credit risk, and eventually moved to the business side, leading the product management team and overseeing all offerings across the risk business. Eugene holds a Ph.D. in Math from UC Berkeley, and worked at the University of Pennsylvania as a lecturer in mathematics before moving away from academia to work in risk.

Chao Zhang

Quantitative Analyst

Bloomberg

Chao Zhang is a quantitative analyst at Bloomberg’s Quantitative Analytics team, which is responsible for the design and implementation of modeling analytics that support pricing and risk management solutions for financial products across the entire suite of Bloomberg products and services. He worked on a wide range of areas including credit, market risk, climate, etc., incorporating innovative machine learning techniques into products and services. Chao holds a Ph.D. in Mathematical Statistics from UC Santa Barbara and his research and publications focused on functional data, time series, and distributional data modeling and analysis.

Jonas Andrada

MARS Relationship Manager

Bloomberg

Jonas Andrada is a Relationship Manager covering buy-side risk solutions at Bloomberg. He joined the company in 2020 working from Sao Paulo, where he focused on fixed income and derivatives workflows. Jonas earned a degree in Economics from the Pontifical Catholic University of Rio de Janeiro, graduating in 2018.

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