Historical Value at Risk versus historical Expected Shortfall
Comparing the behavior of the two on the S&P 500. [...]
Changeability of Value at Risk estimators
How does Value at Risk change through time for the [...]
The scaling of Expected Shortfall
Getting Expected Shortfall given the standard deviation or Value at [...]
Value at Risk with exponential smoothing
More accurate than historical, simpler than garch. Previously We've discussed [...]
An infelicity with Value at Risk
More risk does not necessarily mean bigger Value at Risk. [...]
The incoherence of risk coherence
What coherent risk measures are, why some people think coherence [...]
A look at historical Value at Risk
Historical Value at Risk (VaR) is very popular because it [...]
The estimation of Value at Risk and Expected Shortfall
An introduction to estimating Value at Risk and Expected Shortfall, [...]
The basics of Value at Risk and Expected Shortfall
Value at Risk and Expected Shortfall are common risk measures. [...]
Recap of London Quant Group Spring Seminar
The London Quant Group Spring Seminar took place this Monday [...]