In this keynote, Sébastien Laurent draws on his deep expertise in econometrics to challenge the current state of volatility modelling and explore cutting-edge methodologies for assessing and forecasting conditional risk in complex portfolios.

Key Topics Covered:

• Volatility of market risk: structural shifts, clustering, and asymmetric responses

• Understanding the link between model precision and portfolio robustness

• The trade-off between complexity and interpretability in high-stakes risk modelling

• Practical implications of risk misestimation on capital allocation and stress testing

This in-depth technical masterclass is designed for quants, risk analysts, and portfolio managers looking to elevate their modeling skills for market risk management. Sébastien Laurent leads a hands-on session focused on the practical implementation of advanced techniques in volatility modeling, dimensionality reduction, and time-varying systems.

Key Concepts Discussed:

 Estimating and evaluating conditional variance dynamics using modern econometric tools

 Addressing dimensionality in risk models: factor selection, shrinkage, and feature extraction

 Implementing regularisation techniques for robust portfolio and factor modeling

 Working with time-varying parameter models: stability, responsiveness, and predictive power

 Developing precision metrics for model validation and out-of-sample performance

Format & Structure:

 Interactive lecture format

 Use of case studies and real-world datasets (financial time series)

 Live Q&A and peer discussion of implementation challenges

Target Audience:

Quantitative analysts, risk managers, academic researchers, portfolio quants, and model validation teams