One of my research areas concerns risk in levered strategies. For example, leverage in a risk parity strategy can be very expensive and unexpectedly volatile. The performance of a levered strategy can be attributed to coin-flip-like factors such as the covariance between leverage and the underlying source portfolio that is being levered.
A levered investor is liable to get caught in a liquidity trap: unable to secure funding after an abrupt market decline, he may be forced to sell valuable positions under unfavorable market conditions. A risk measure that is especially relevant to a levered investor is Conditional Expected Drawdown, which is the tail mean of a drawdown distribution, and which is sensitive to losses that are correlated over time.
Ordinary least squares regression is used throughout finance, but the standard connection between the level of statistical significance of a coefficient and the magnitude of its t-statistic can break down if the data aren't Gaussian. There is a stunning example of an inflated t-statistic for a VIX-based volatility factor with no explanatory power.
Counterparty risk is inherent in any financial contract, perhaps even in a US treasury bond. Prompted by regulation, banks use the Credit Value Adjust (CVA) to evaluate the market price of counterparty risk. Reduced form estimates of CVA may surprise practitioners and regulators in the presence of wrong way risk (when credit quality is negatively correlated with exposure).
More research articles can be found on my SSRN page.
I am co-Director of the Consortium For Data Analytics In Risk (CDAR), which was launched in 2015 with a generous grant from State Street. CDAR performs and disseminates research on the most important and pressing issues concerning financial markets and risk management. The Consortium supports a collaborative yet intellectually and geographically diverse group of researchers, and we aspire to integrate best practices from academia and industry. I am also Director of Research at Aperio, which is a Sausalito-based wealth management firm. Aperio's recent research concerns minimum variance and quality strategies, as well as carbon-free investing. Stranded assets are an important consideration for investors, as financial markets become aligned with climate science.