Fatin I.·Oct 1Value-at-Risk (MSFT and GSK)A mini project using Python to calculate and visualize the value-at-risk (VaR) of a portfolio of stocks using non-parametric method…
Patrick Lefler·Sep 8The Case for Expected Shortfall Instead of Value at RiskHow much could a portfolio lose at a 99% confidence level over the next month? Value at Risk answers exactly that question and stops there…
Jakes Lano Caldas·Jul 19“Missão: Risco da Carteira”.Eu tinha acabado de voltar de férias e meu chefe me chamou em sua sala. Queria que eu desse uma olhada em sua carteira de ativos na Bolsa…
Patrick Lefler·Jun 29Bayesian Cybersecurity Loss Forecasting: Translating Ransomware Exposure into Value-at-RiskThe single most likely outcome in this ransomware loss model is zero dollars. The median annual loss came out at $0.0M, because at the…A response icon1A response icon1
InInsiderFinance WirebyTony Tsoi·Jun 17Portfolio Risk Management with Marginal and Incremental VaR and Expected ShortfallA practitioner’s guide to risk decomposition and trade sizing, from theory to Python implementationA response icon1A response icon1
Patrick Lefler·Jun 1Measuring the Tail: VaR, Expected Shortfall, and When the Math BreaksArticle 3 of 6 | The Infrastructure of Risk Series
InInvestor’s HandbookbyJoe Kang·Mar 31Measuring Market Risk: VaR, Expected Shortfall, and What Happens When the Numbers MoveA breakdown of VaR, Expected Shortfall, and the frameworks regulators use to keep trading book risk in check
Aritra Tarafdar·Mar 29A VaR Project — Edelweiss Flexi Cap Mutual Fund’s Case.In the world of investing, we often talk about “risk” as a vague, looming cloud. We know it’s there, but we rarely measure its weight…
Patrick Lefler·Jan 15Coding the Tail: Implementing Block Bootstrap and Extreme Value Theory in RIn previous articles, it has been shown that standard risk models fail because they assume markets behave normally…but they don’t. And some…
