Model Uncertainty and Risk Models

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Model Uncertainty and Risk Models

Ardea Investment Management

Welcome to the Ardea Quantitative Research Series. Hosted by Dr. Laura Ryan and featuring various industry & academic experts, this series is dedicated to providing informative discussions on quantitative research.

Our first area of focus is Model Uncertainty and we will be providing a few episodes on this topic. Model Uncertainty is present whenever any model is utilised. There will be uncertainty about everything from the assumptions used to the functional form of the model imposed. We will talk about Risk Models, modelling high frequency data, machine learning vs statistics, retirement modelling and even the simplest of models correlation.

In our first episode, Ben Alexander, Co-Chief Investment Officer at Ardea Investment Management joins Dr. Laura Ryan as they share insights into the risk model used in the Ardea portfolio construction process.