September 21, 2014
Conference The first EARL Conference (Effective Applications of the R Language) was held 2014 September 15-17 in London. Talk My talk was "Effective risk management with R" (annotated slides). [...]
November 18, 2013
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 [...]
September 23, 2013
The subtitle is "Organizational Design, Risk, and Value Creation". Executive summary This should be a business book bestseller -- it simply and clearly explains the process of value creation. [...]
August 26, 2013
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 [...]
June 16, 2013
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 [...]
May 28, 2013
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 [...]
February 4, 2013
More risk does not necessarily mean bigger Value at Risk. Previously "The incoherence of risk coherence" suggested that the failure of Value at Risk (VaR) to be coherent is [...]
January 14, 2013
What coherent risk measures are, why some people think coherence is important, and why I don't. The rules A risk measure is considered to be coherent if it satisfies [...]
December 17, 2012
Historical Value at Risk (VaR) is very popular because it is easy and intuitive: use the empirical distribution of some specific number of past returns for the portfolio. Previously [...]
November 19, 2012
An introduction to estimating Value at Risk and Expected Shortfall, and some hints for doing it with R. Previously "The basics of Value at Risk and Expected Shortfall" provides [...]