Event
QWAFAFEW Denver - October Meeting
About the speaker:
Mido Shammaa is a Director at Schwab Equity Ratings where he focuses on Quantitative Equity and Fixed Income Research. Before joining Schwab, Mido was a VP of Structural Market Risk Reporting at BMO-Harris where he led developed behavioral models. From 2002 to 2013, Mido worked at FactSet Research Systems and progressed to head the Fixed Income Quantitative Research group that developed and researched a variety of risk and pricing models. Prior to that, Mido held positions in banking and financial services.
Mido has a Master's degree in Financial Mathematics from the University of Chicago, an MBA in Finance from Rollins College and a Computer Communications Engineering Bachelor's Degree from the American University of Beirut. He is a CFA charter holder and has a FRM certificate.
Presentation Summary:
Since the financial crisis the concept of Risk On/ Risk Off market environments has gained a lot of attention. A number of indicators have been proposed to figure out the state of the market or 'climate'. These generally focus on volatility, correlations, factor performance, fragility etc. This talk explores a few of them and examines their recent efficacy. It then discusses visualization and analytical tools to improve their usefulness and backtest performance.
The presentation will then propose additional tools to gain further insights into market regimes. The first is analysis in asset domain where the focus is on the similarity between time periods rather than between assets and the second is analysis of time series with different frequencies and lengths. These techniques are yet to be embraced by financial practitioners and the aim is to illustrate their application so as to spur more inquiry into these areas.
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LocationMarco's Coal-Fired Pizzeria (View)
2129 Larimer St.
Denver, CO 80205
United States
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