A QUANT PRACTITIONER’S GUIDE
Model Risk
in Quantitative
Finance
Information coefficients, drift detection,
walk-forward validation, and the statistics of not fooling yourself.
\[ \widehat{\mathrm{IC}}_t = \rho_{\text{Spearman}}\!\bigl(\widehat{R}_{i,t+1},\, R_{i,t+1}\bigr), \qquad \mathrm{FDR}_q \;=\; \mathbb{E}\!\left[\frac{V}{R \vee 1}\right]. \]
Spring 2026 Edition · Live Code · Walk-Forward Lab