Blog

Welcome to my blog, a space dedicated to exploring the dynamic and critical fields of risk management and asset pricing. These two pillars form the foundation of modern finance, shaping how we value assets and manage the uncertainties inherent in financial markets. In an era of rapid market evolution, understanding the interplay between risk and return is more crucial than ever.

This blog will delve into a wide array of topics, from the foundational principles of the Capital Asset Pricing Model (CAPM) and Arbitrage Pricing Theory to the multi-factor models that have since evolved. We will explore how assets are priced, how risk is measured, and the theoretical models that guide investment decisions. The discussion will cover various forms of financial risk, including market, credit, and liquidity risk, providing a comprehensive view of how firms and investors can navigate them.

Key themes will include:

• The Impact of Technology: We’ll look at how artificial intelligence, machine learning, and big data are revolutionizing risk assessment and asset pricing, offering new ways to analyze data and predict market movements. Recent studies have even begun applying time-series foundation models to improve Value-at-Risk (VaR) estimates.
• Emerging Risks: The blog will address modern risks that are becoming central to financial stability, such as climate and sustainability risks, geopolitical tensions, and cybersecurity threats. Regulators and investors are increasingly focused on Environmental, Social, and Governance (ESG) factors, making them a key component of modern risk frameworks.
• Behavioral Finance: We will also touch upon how investor psychology and behavioral biases can influence asset prices and lead to market anomalies, an area where traditional models sometimes fall short.

My goal is to share insights and foster a deeper understanding of these complex subjects. Whether you are a student, a fellow academic, or a practitioner in the field, I invite you to join the conversation as we explore the forces that drive our global financial system.