Risk Models For Quant Trading By Zura Kakushadze

1 min read

Thursday, May 16, 2019, at 7:30 PM IST | 2:00 PM GMT | 10:00 PM SGT

Risk Modelling takes sensitivity analysis to the next level and helps in assessing the probability and potential impact of unfavourable outcomes. In this webinar you will learn about various risk models like statistical risk models, risk models based on style and industry factors, and machine learning risk models and how they compare in practical applications empirically, etc. Based on the assessments, various decisions with respect to managing, hedging or transferring risks can be taken.

Session Outline

  • How to build risk models for short-horizon & ephemeral ML-based data-mined alphas?
  • How to make the covariance matrix out-of-sample stable & invertible for short lookbacks?
  • Can using ML-based methods (e.g., clustering) for building such risk models add value?
  • Should PMs allocate resources for building custom risk models or use commercial ones?

This talk is intended to answer these & other questions with some substantive details.

About the Speaker

Zura-Kakushadze (CEO, Quantigic®)


Zura Kakushadze is the President and CEO of Quantigic® Solutions and a Full-time Professor at the Free University of Tbilisi, Georgia. He received his PhD in theoretical physics from Cornell University at 23, was a Postdoctoral Fellow at Harvard University, and an Assistant Professor at C.N. Yang Institute for Theoretical Physics at Stony Brook University. He received an Alfred P. Sloan Foundation Fellowship in 2001. After expanding into quantitative finance, he was a Director at RBC Capital Markets, Managing Director at WorldQuant, Executive Vice President and substantial shareholder at Revere Data (now part of FactSet), and Adjunct Professor at the University of Connecticut.

He has:

  • Over 17 years of hands-on experience in quantitative trading and finance
  • 130+ publications in physics, finance, cancer research and other fields, including the paper “101 Formulaic Alphas” and the book “151 Trading Strategies”
  • 3,400+ citations and h-index 30+
  • 159,000+ downloads on SSRN, and
  • Over a quarter million followers on LinkedIn


You can check out the powerpoint presentation for this webinar here: