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Risk Models with Higher Order Moments

Join Enterprise Risk Management (ERM) lecturer Ben Steiner, who will be presenting at QWAFA x New on "Model Risk Management for Alpha Strategies created with Deep Learning."

The presentation will cover: 

  1. Understanding the challenges of using deep learning to build alpha generation strategies
  2. Can we model a constantly moving market? When DL should (and should not) be used?
  3. Model risk management to detect when deep learning strategies are not performing as intended.

Ben Steiner works in Global Fixed Income, BNP Paribas Asset Management. Earlier in his career, he held roles of Head of Model Development, Portfolio Manager & Quant Researcher at investment managers and quantitative hedge funds. This experience covered models and investment strategies in multiple asset classes ranging from the traditionally illiquid (Private Debt and Real Estate) to the more liquid markets (Non-traditional Bond; Managed Futures; Global Macro and Equity Long/Short).

Prior to his current role, Ben was Head of Model Development at CIT where he managed the team researching and implementing credit models. Earlier in his career, he was a Portfolio Manager and Senior Quant Researcher at BNP and, before that, Research Manager at Aspect Capital in London. Ben started his career at Deutsche Bank in quantitative research and portfolio construction.

He holds a BA in Economics from the University of Manchester and an MSc in Mathematical Finance from Imperial College, London. In 2013, Ben was appointed to the Board of Directors of the Society of Quantitative Analysts (SQA) and has given recent lectures on machine learning and model risk management at Columbia & NYU.