The CFA Society Keynote: Advancing Hedge Funds Chief Investment Officer Practices: Model Risk Management with Auto Machine Learning: JP Morgan and Goldman Sachs Practices Case Studies. (Presentation: 107 slides)

107 Pages Posted: 23 Jan 2019

See all articles by Yogesh Malhotra

Yogesh Malhotra

Global Risk Management Network, LLC

Date Written: October 16, 2018

Abstract

We introduce Risk Management Models using JP Morgan’s pioneering focus on Investment Performance, Analytics, and Risk. We build understanding about Model Risks with focus on Value-at-Risk (VaR), the most prominent financial risk valuation models in use across global practices. AI & Machine Learning (ML) are introduced in terms of the Statistical Probabilistic Analytics underlying the performance of such Models. We advance beyond Normality and Linearity assumptions with sophisticated Models while introducing Bayesian Inference as a complement to above models to mitigate Model Risks often attributed to Frequentist Methodologies. AI & ML Algorithms and Models from the JP Morgan AI-ML portfolio motivate focus on Big Data driven Automated Machine Learning to enable Model Risk Management inspired by Goldman Sachs’ pioneering focus on Model Risk Management and Uncertainty Management. Advancing beyond Risk to Uncertainty which is increasingly characterizing emerging global financial markets, we underscore the need for Augmented Intelligence characterizing Smart Minds smartly using Smart Tools with illustrative cases and examples.

Keywords: CFA, Hedge Funds, Chief Investment Officer, Model Risk Management, Auto Machine Learning, JP Morgan, Goldman Sachs

Suggested Citation

Malhotra, Yogesh, The CFA Society Keynote: Advancing Hedge Funds Chief Investment Officer Practices: Model Risk Management with Auto Machine Learning: JP Morgan and Goldman Sachs Practices Case Studies. (Presentation: 107 slides) (October 16, 2018). Available at SSRN: https://ssrn.com/abstract=3312568 or http://dx.doi.org/10.2139/ssrn.3312568

Yogesh Malhotra (Contact Author)

Global Risk Management Network, LLC ( email )

Cornell Business and Technology Park
Ithaca, NY 14852-4892
United States

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