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 distribution were discussed. Scaling One way of thinking of Expected Shortfall is that it is just some number times the standard deviation, or some other number … Continue reading...
(This article was first published on R-statistics blog » RR-statistics blog, and kindly contributed to R-bloggers) What are the top 100 (most downloaded) R packages in 2013? Thanks to the recent release of RStudio of their “0-cloud” CRAN log files (but without including downloads from the primary CRAN mirror or any of the 88 other CRAN mirrors), we can now answer this question...
In case you missed them, here are some articles from May of particular interest to R users: Billions of geotagged Tweets create a beautiful map of the world when plotted with the ggmap package. A review of Ryan Sheftel's talk at R/Finance, on how he uses R on the trading desk at Credit Suisse. Also, a quick take on...
A few basics about the stable distribution. Previously “The distribution of financial returns made simple” satirized ideas about the statistical distribution of returns, including the stable distribution. Origin As “A tale of two returns” points out, the log return of a long period of time is the sum of the log returns of the shorter … Continue reading...
Last week, we had a discussion with some colleagues about the fact that – in order to prepare for the SOA exams – we did not have time (so far) to mention results on extreme values in our actuarial program. I did gave an introduction in my nonlife actuarial models class, but it was only an introduction, in three...
Highlighted Value at Risk and Expected Shortfall A two-day course exploring Value at Risk and Expected Shortfall, and their role in risk management. 2013 June 25 & 26, London. Lead by Patrick Burns. Details at the CFP Events site. New Events Thalesians — San Francisco 2013 June 5. Jesse Davis on “Risk Model Imposed Manager-to-Manager … Continue reading...
by Joseph Rickert In a post last week, I offered some first impressions about R/Finance 2013. Apparently, I was way off in estimating that 30% of the attendees were academics. The R/Finance organizers were quick to point out that percentage of academics attending the conference has been a constant 10% over the years; and this year was no different....
It's been one week since the 5th Annual R/Finance conference, and I finally feel sufficiently recovered enough to share my thoughts. The conference is a two-day whirlwind of applied quantitative finance, fantastic networking, and general geekery.
The comments below are based on my personal experience. If I don't comment on a seminar or presentation, it doesn't mean I...
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 look at historical Value at Risk”. Issue Markets experience volatility clustering. As the previous post makes clear, historical VaR suffers dramatically from this. An alternative is … Continue reading...
The fifth internation R/Finance conference was held last weekend. As one of the founding co-organizers, I may well be accussed of a little bias, but we think we once again pulled off a very nice and successful weekend-long event. Participants had ki...
Zero Inflated Models and Generalized Linear Mixed Models with R.
Zuur, Saveliev, Ieno (2012).
