Program details - Day 5


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Two-step mean-variance
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Mean-Variance analytical
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How to determine the permutation of factors in sequential attribution?
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Quantile of the systematic factor drives the VaR of the book of the bank
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Attribution of drawdown
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Estimation risk in portfolio construction: stress-testing vs shrinkage
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How to model cycles in credit risk?
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How to blend n-choose-k and convex programming?
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Summary of the ten steps of the Checklist
(*) only mentioned in class, all details provided in the ARPM Lab
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