Risk measurement, portfolio construction, hedging strategies, and fixed income for quantitative finance.
Quantifying potential losses at a given confidence level
CVaR, coherent risk measures, and why VaR has limitations
Mean-variance optimization, efficient frontiers, and Markowitz theory
Bond pricing, yield curves, duration, and convexity
Delta hedging, portfolio insurance, and tail risk management
Historical scenarios, Monte Carlo stress tests, and regime analysis
Risk budgeting, marginal risk contribution, and position sizing
Systematic vs. idiosyncratic risk, beta, alpha, and multi-factor decomposition
Sample covariance pitfalls, Ledoit-Wolf shrinkage, factor-model covariance, and eigenvalue clipping
Bid-ask spread, square-root market impact, Almgren-Chriss execution, and implementation shortfall
Brinson allocation/selection decomposition and factor-based P&L attribution
Pairs trading, cointegration vs correlation, z-score signals, and factor-neutral portfolio construction
Look-ahead bias, survivorship bias, overfitting, walk-forward validation, and deflated Sharpe ratio
Black-Litterman model, risk parity, robust optimization, and resampled efficient frontiers