R language

Additional views of the stability of skewness and kurtosis of equity portfolios. Previously A post called "Four moments of portfolios" introduced the idea of looking at the stability of [...]

Comparing the behavior of the two on the S&P 500. Previously There have been a few posts about Value at Risk (VaR) and Expected Shortfall (ES) including an introduction to Value [...]

What I've learned from updating the blogroll. New entries The easy option is to go to The Whole Street which aggregates lots of quant finance blogs. Somehow Bookstaber missed [...]

What good are the skewness and kurtosis of portfolios? Previously The post "Cross-sectional skewness and kurtosis: stocks and portfolios" looked at skewness and kurtosis in portfolios.  The key difference [...]

Get data that fit before you fit data. Why verify? Garbage in, garbage out. How to verify The example data used here is daily (adjusted) prices of stocks.  By [...]

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 [...]

Getting Expected Shortfall given the standard deviation or Value at Risk. Previously There have been a few posts about Value at Risk and Expected Shortfall. Properties of the stable [...]

A few basics about the stable distribution. Previously "The distribution of financial returns made simple" satirized ideas about the statistical distribution of returns, including the stable distribution. Origin As [...]

Highlighted Value at Risk and Expected Shortfall A two-day course exploring Value at Risk and Expected Shortfall, and their role in risk management. 2013 June 25 & 26, London. [...]

More accurate than historical, simpler than garch. Previously We've discussed exponential smoothing in "Exponential decay models". The same portfolios were submitted to the same sort of analysis in "A [...]