Monthly Archives: August 2013

Changeability of Value at Risk estimators

How does Value at Risk change through time for the same portfolio? Previously There has been a number of posts on Value at Risk, including a basic introduction to Value at Risk and Expected Shortfall. The components garch model was also described. Issue The historical method for Value at Risk is by far the most commonly … Continue reading

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US market portrait 2013 week 34

US large cap market returns. Fine print The data are from Yahoo Almost all of the S&P 500 stocks are used (as implied by Wikipedia on 2013 January 5 — see the R commands to scrape the data) The initial post was “Replacing market indices” The R code is in marketportrait_funs.R — you are free … Continue reading

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US market portrait 2013 week 33

US large cap market returns. Fine print The data are from Yahoo Almost all of the S&P 500 stocks are used (as implied by Wikipedia on 2013 January 5 — see the R commands to scrape the data) The initial post was “Replacing market indices” The R code is in marketportrait_funs.R — you are free … Continue reading

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US market portrait 2013 week 32

US large cap market returns. Fine print The data are from Yahoo Almost all of the S&P 500 stocks are used (as implied by Wikipedia on 2013 January 5 — see the R commands to scrape the data) The initial post was “Replacing market indices” The R code is in marketportrait_funs.R — you are free … Continue reading

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US market portrait 2013 week 31

US large cap market returns. Fine print The data are from Yahoo Almost all of the S&P 500 stocks are used (as implied by Wikipedia on 2013 January 5 — see the R commands to scrape the data) The initial post was “Replacing market indices” The R code is in marketportrait_funs.R — you are free … Continue reading

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