Darwinian Model Risk and Reverse Stress Testing
Society for Industrial and Applied Mathematics via YouTube
Overview
This course focuses on understanding Darwinian model risk and reverse stress testing in the context of mathematical finance and engineering. The learning outcomes include recognizing the risk of adverse model selection and the importance of detecting "Darwinian model risk" through long-term simulations. Participants will explore the profitability puzzle and applications of reverse stress testing. The teaching method involves a virtual talk series with a speaker from Université de Paris. This course is intended for individuals interested in financial mathematics, engineering, and risk management in trading environments.
Syllabus
Introduction
Context
Darwinian Model Risk
Profitability Puzzle
Applications
Conclusion
Questions
Taught by
Society for Industrial and Applied Mathematics