VaR Change Analysis
Automated commentary framework for VaR change analysis
- Goldman Sachs
- Designed a machine learning framework and an automated commentary framework that attributes movement in a percentile of two regressed PnL distributions to its corresponding risk factor regressor variables
- Used time series filtering and reduced computation time by 90%, correlation clustering for joint movement reporting
- Outperformed the results of a state-of-the-art through higher accuracy, faster computation, and cluster outputs