Quant Primer

Contents

Real Time Models & Risk - PPT Overview

Real-Time Models & Risk – Quant Primer

These materials provide a comprehensive introduction to real-time model calibration and portfolio risk computation using the Jacobian method, with a strong focus on practical implementation and industry best practices. The slides combine foundational theory with hands-on application, covering the derivation and use of the Jacobian matrix to efficiently compute sensitivities, selection of state variables, and real-time examples in interest rate swap curves and bucketed DV01 risk measurement. The resource then extends these techniques to credit derivatives, demonstrating credit curve calibration, CS01 computation, and real-time risk analytics for credit default swaps. Analytical and numerical results are compared to illustrate precision and robustness in practice.

This Quant Primer is especially valuable for quants, risk analysts, and practitioners seeking to understand how sophisticated real-time techniques translate into actionable portfolio risk insights, equipping them with methods used in professional trading and risk management environments.

Keywords:

real-time risk, Jacobian, model calibration, DV01, CS01, credit derivatives, credit curve, CDS pricing, bucketed risk, sensitivities, state variables, quantitative finance, trading, risk analytics