Mark S. Rzepczynski is managing partner at Theme Analytics, LLC.
Validation of Risk Management Models for Financial Institutions, through a set of thoughtful articles, describes how effective structuring and testing of the modeling techniques used in risk management can support better financial decision making.
A Man for All Markets is the autobiography of a man regarded by many as the father of quantitative finance. His story is one of a mathematician who moved from solving such casino games as blackjack to applying his skills to option pricing and statistical arbitrage. As he recounts his journey, he provides insights for all money managers on how to generate an edge and beat the markets through deep research.
Leading econometricians address the issue of statistically identifying and measuring business cycle regimes and turning points. They provide a framework for modeling and predicting cyclical shifts. This work is relevant for investment managers interested in matching business cycle analysis with asset allocation decisions.