Applied Portfolio VaR Decomposition. (3) Incremental VaR and Portfolio Revaluation.
Dr. Pawel Lachowicz
In today’s part in the series, we will discuss the concept of Incremental VaR (Value-at-Risk) and its impact…
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12 posts
Applied Portfolio VaR Decomposition. (2) Impact vs Moving Elements.
Calculations of daily Value-at-Risk (VaR) for any $N$-asset portfolio, as we have studied it already in Part 1,…
Applied Portfolio VaR Decomposition. (1) Marginal and Component VaR.
Risk. The only ingredient of life that makes us growing and pushing outside our comfort zones. In finance,…
GARCH(1,1) Model in Python
In my previous article GARCH(p,q) Model and Exit Strategy for Intraday Algorithmic Traders we described the essentials of…
Gap-on-Open Profitable Trading Strategy
After a longer while, QuantAtRisk is back to business. As an algo trader I have been always tempted…
Extreme VaR for Portfolio Managers
Regardless of who you are, either an algo trader hidden in the wilderness of Alaska or an active…
Preprocessing of Asset Price Series for Portfolio Optimization
Portfolio Optimization is a significant component of Matlab’s Financial Toolbox. It provides us with ready-to-use solution in finding…
Ideal Stock Trading Model for the Purpose of Backtesting Only
There is only one goal in algorithmic stock trading: to win the game. To emerge victorious. To feel…
mhAoV: Most Powerful Periodogram for Signal Analysis
I decided to take the data analysis on Black Swan and Extreme Loss Modeling to the next level…
GARCH(p,q) Model and Trade’s Exit Strategy
Forecasting future has always been a part of human untamed skill to posses. In an enjoyable Hollywood production…
Financial Time-Series Rebinning
Working with financial time-series, especially in trading and its following analysis of data trends or so on, we…
Black Swans and Extreme Loss Modeling
When I read the book of Nassim Nicholas Taleb Black Swan my mind was captured by the beauty…