Last week I organised for Attilio Meucci to give a webinar to members of CFA Singapore and NUS Risk Management Institute on an Introduction to “The Checklist” – Ten Steps for Advanced Risk and Portfolio Management. It served the dual-purpose of a professional development talk and marketing of the upcoming ARPM Bootcamp on 15-20 August in NYC.

The slides can be viewed online at slideshare.net: Introduction to “The Checklist”.

Checklist Changes

Some key changes I noticed from the former Checklist available at ssrn.com:

• A new step, Dynamic Allocation, comes in at Step 10, and Ex-post Performance Analysis now follows as the “Ultimate Step”, so 10 + 1 steps…
• Evaluation now precedes Attribution
• Optimization renamed to Construction
• Grouping of the steps into 3 categories: Market Dynamics, Risk Management and Portfolio Management

Python Code is Coming!

Some great news for Python fans, ARPM Bootcamp attendees will also have access to Python code, which Attilio tells me will be about 10 times more than the code currently available in Matlab.
What’s more, there will be a 1-day Python Conference happening before the Bootcamp.

Currently the code base is in Matlab, downloadable at mathworks.com and at the ARPM website.

Also do note that there is a lot more code available in the ARPM Lab, but only for attendees…

As for R code, there is an open-source package maintained by 3rd parties at https://github.com/R-Finance/Meucci.

Upcoming Singapore Talk on The Checklist

On 25 May, I will be holding a talk for the R User Group Singapore and my own Return and Risk Quants meetup group, where I will give an introduction to The Checklist with some examples in Python to make it a bit more concrete.

PS If you do sign-up for the Bootcamp, please let the good folks at ARPM know you learnt about it at returnandrisk.com!