MATLAB Computational Finance Conference 2014


Calibration and Simulation Best Practices: Multifactor Interest Rate Models for Risk Applications

9:20–10:10 a.m.
Kevin Shea, Principal Software Engineer, MathWorks

Calibration and simulation are a critical, but time-consuming process in modern computational finance applications. Through an example Monte Carlo simulation of interest rate models for counterparty credit risk analysis, Kevin highlights best practices for creating and calibrating models, performing simulations, and optimizing code for performance using MATLAB. He shows how single-factor and multifactor models can be calibrated to both current market data and historical data using Kalman filter and state-space modeling and simulates a portfolio of interest rate instruments. He concludes with discussion on how to deploy MATLAB models into enterprise applications for on-demand risk analysis and reporting.

About the Speaker

Kevin Shea

Kevin is a principal software engineer and senior team lead for the Computational Finance team, which is responsible for the development of financial instruments modeling and analysis functionality in MATLAB. Previously at MathWorks, he was a consultant working primarily with customers in the financial services industry. Kevin is a CFA charterholder.

Using MATLAB to Bridge the Gap Between the Portfolio Construction and Trading

10:10–11:00 a.m.
Robert Kissell, Ph.D., President, Kissell Research Group

This presentation discusses Kissell Research Group’s latest financial research and findings and shows how the firm has been using MATLAB to help portfolio managers and traders bridge the gap between stock selection and portfolio implementation. Robert introduces techniques that use MATLAB to estimate the cost of trading via non-linear regression analysis, construct MI factor scores to assist portfolio managers with their portfolio construction process, and improve the accuracy and efficiency of algorithmic optimizers. Finally, he discusses how Kissell is using MATLAB to construct the next generation of Global Cost Indexes, and how these indices are used to back-test investment ideas and evaluate broker performance, which ultimately leads to higher portfolio returns for the investor.

Topics covered in this presentation include:

  • I-Star Cost Index
  • Portfolio construction
  • Algorithmic optimization
  • Back-testing series
  • Broker evaluation

About the Speaker

Robert Kissell

Robert is the president and founder of Kissell Research Group. He has over 20 years of professional experience specializing in economics, quantitative modeling, statistical analysis, and risk management. He advises and consults portfolio managers throughout the U.S. and Europe on appropriate risk management, trading analysis, and portfolio construction techniques. He is author of the leading industry books Optimal Trading Strategies, The Science of Algorithmic Trading & Portfolio Management, and Multi-Asset Risk Management. Robert has published numerous research papers on trading strategies, algorithmic trading, risk management, and best execution. His paper “Dynamic Pre-Trade Models: Beyond the Black Box” won the Institutional Investor Prestigious Paper of the Year award.

(Re)Defining and Managing Diversification

5:10–6:00 p.m.
Attilio Meucci, Chief Risk Officer, Kohlberg Kravis Roberts and Founder of SYMMYS

Attilio introduces a precise quantitative metric for diversification. The metric is based on the "Effective Number of Bets.” The bets are "Minimum Torsion Bets,” or a set of uncorrelated factors optimized to closely track the factors used to allocate the portfolio.

He discusses the advantage of the Minimum-Torsion Bets over the traditional approach to diversification based on Marginal Contributions to Risk.

About the Speaker

Attilio Meucci

Attilio Meucci is the firm-wide chief risk officer at Kohlberg Kravis Roberts (KKR). He is also the founder of SYMMYS, under whose umbrella he created and now instructs the six-day “Advanced Risk and Portfolio Management (ARPM) Bootcamp,” and manages the charity One More Reason. Prior to joining KKR, Attilio was the chief risk officer and director of portfolio construction at Kepos Capital. He was also the head of research for Bloomberg’s risk and portfolio analytics platform; a researcher at Lehman POINT; a trader at the hedge fund Relative Value International; and a consultant at Bain & Co. Concurrently, he taught at Columbia-IEOR, NYU-Courant, Baruch College-CUNY, and Bocconi University. Attilio authored “Risk and Asset Allocation” and numerous publications in practitioner and academic journals. He earned a B.A. in physics from the University of Milan, an M.A. in economics from Bocconi University, a Ph.D. in mathematics from the University of Milan, and is a CFA charterholder.

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