We discuss when and why custom multi-factor risk models are warranted and give source code for computing some risk … factors. Pension/mutual funds do not require customization but standardization. However, using standardized risk models in … quant trading with much shorter holding horizons is suboptimal: (1) longer horizon risk factors (value, growth, etc …

We develop a model of pandemic risk management and firm valuation. We introduce aggregate transmission shocks into an …

We develop a model of pandemic risk management and firm valuation. We introduce aggregate transmission shocks into an …

The desire of risk-averse households to hedge rent risk is thought to increase home ownership and prices. While … is search frictions. Rent risk reduces outside options, leading to less-picky buyers and worse home/buyer matches. This … remains on the market for fewer days when rent risk is higher. Accounting for frictions significantly increases the effect of …

We give an explicit algorithm and source code for extracting equity risk factors from dead (a.k.a. "flatlined" or …

We discuss when and why custom multi-factor risk models are warranted and give source code for computing some risk … factors. Pension/mutual funds do not require customization but standardization. However, using standardized risk models in … quant trading with much shorter holding horizons is suboptimal: 1) longer horizon risk factors (value, growth, etc …

We discuss how to build ETF risk models. Our approach anchors on i) first building a multilevel (non …-)binary classification/taxonomy for ETFs, which is utilized in order to define the risk factors, and ii) then building the risk models based … on these risk factors by utilizing the heterotic risk model construction of https://ssrn.com/abstract=2600798 (for binary …