Does It Make Sense to Use 1-Hour 1% VaR and ES for Bitcoin?
Dr. Pawel Lachowicz
Another day, another record. Today, at 17:35 GST+1, Bitcoin crossed U\$33,000 in trading at Coinbase Pro exchange and…
Browsing Tag
risk measures
14 posts
Recalibrating Expected Shortfall to Match Value-at-Risk for Discrete Distributions
By considering the same Value at Risk measure, $\varrho$, applied to two or more portfolios (credit loss distributions,…
Conditional Value-at-Risk for Normal and Student t Linear VaR Model
Conditional Value-at-Risk (CVaR), also referred to as the Expected Shortfall (ES) or the Expected Tail Loss (ETL), has…
Probability of Black Swan Events at NYSE
The prediction of extreme rare events (EREs) in the financial markets remains one of the toughest problems. Firstly…
Predicting Heavy and Extreme Losses in Real-Time for Portfolio Holders (2)
This part is awesome. Trust me! Previously, in Part 1, we examined two independent methods in order to…
Predicting Heavy and Extreme Losses in Real-Time for Portfolio Holders (1)
The probability of improbable events. The simplicity amongst complexity. The purity in its best form. The ultimate cure…
Applied Portfolio VaR Decomposition. (3) Incremental VaR and Portfolio Revaluation.
In today’s part in the series, we will discuss the concept of Incremental VaR (Value-at-Risk) and its impact…
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,…
Quantitative Risk Assessment Model for Investment Options
Working in the superannuation industry in Australia has some great advantages. A nice atmosphere at work, gym sessions…
Extreme VaR for Portfolio Managers
Regardless of who you are, either an algo trader hidden in the wilderness of Alaska or an active…
Information Ratio and its Relative Strength for Portfolio Managers
The risk and return are the two most significant quantities investigated within the investment performance. We expect the…
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…
Black Swans and Extreme Loss Modeling
When I read the book of Nassim Nicholas Taleb Black Swan my mind was captured by the beauty…
VaR and Expected Shortfall vs. Black Swan
It is one of the most fundamental approaches in measuring the risk, but truly worth revising its calculation.…