From Mathematics to Risk Management: A Quantitative Perspective

Industrial Problems Seminar

Xu Li
Citi

Abstract

I will discuss my transition from graduate studies in mathematics to quantitative risk management and my experience working as a risk quant in industry. The talk outlines how portfolio losses are modeled for regulatory capital and stress testing, and how this objective shapes the use of probabilistic models, PDE intuition, and large-scale simulation. I will also sketch the regulatory framework that governs risk modeling in practice and reflect on how notions of rigor and validation differ from those in academia.