Build It in a Day: Factor Model Approaches

Workshop Info

Factor Model Approaches
This session will introduce students to the different approaches used in commercially available factor models from leading providers. We will focus on equity factor models with a brief intro to multi-asset class models. The session will be run in 2 parts: Part 1 will survey the popular approaches used by different providers which include statistical factor models and fundamental factor models. Students will learn why factor models exist, how they were initially created, and different flavors and approaches to factor modelling. We will cover the evolution and innovation in factor models recently. A very brief overview of extending the factor model structure into other asset classes will be shared as well; Part 2 of the discussion will focus on the practical implementation of off-the-shelf factor models at buy side institutions. We will cover best practices, advantages, drawbacks, and limitations.

February 14 – May 2 , 2025
Time for all workshops: 1:00 pm – 4:00 pm ET

These workshops offer the opportunity to experience risk management processes by building them. Examples include counterparty credit risk estimation, FAMA-French factor models, bank default modeling, risk management infrastructure at a lending company, the Fundamental Review of the Trading Book (FRTB), Comprehensive Capital Assessment and Review (CCAR). These major concepts are as much about their implementation as they are about their theoretical description; and organizations gain competitive advantage by effectively implementing these concepts. As a professional, a first step to adding value to this work at an organization is knowing how to build a simple version in a day.

How To Join a Session

Click on the Join a Session button at 1:00 pm ET on the day of your desired workshop. Each workshop ends at 4:00 pm ET.