Quantitative finance collector
C++ Matlab VBA/Excel Java Mathematica R/Splus Net Code Site Other
Dec 7

Predicting Heavy and Extreme Losses in Real-Time for Portfolio Holders

Posted by abiao at 00:57 | Code » Other | Comments(12) | Reads(8313)
Pawel wrote a great article on predicting heavy and extreme losses in real-time for portfolio holders, the goal is to calculate the probability of a very rare event (e.g. a heavy and/or extreme loss) in the trading market (e.g. of a stock plummeting 5% or much more) in a specified time-horizon (e.g. on the next day, in one week, in one month, etc.). The probability. Not the certainty of that event.

In this Part 1, first, we look at the tail of an asset return distribution and compress our knowledge on Value-at-Risk (VaR) to extract the essence required to understand why VaR-stuff is not the best card in our deck. Next, we move to a classical Bayes’ theorem which helps us to derive a conditional probability of a rare event given… yep, another event that (hypothetically) will take place. Eventually, in Part 2, we will hit the bull between its eyes with an advanced concept taken from the Bayesian approach to statistics and map, in real-time, for any return-series its loss probabilities. Again, the probabilities, not certainties.


Read this excellent post and accompanying Pathon codes at http://www.quantatrisk.com/2015/06/14/predicting-heavy-extreme-losses-portfolio-1/


Tags: , ,
The best investor is someone who hold the position during market fall until the market get at the same market price
patsm00re18 Email
Your way of putting things together is admirable. crazy games bullet force
If there are many sad stories, share it with the people you trust. Sharing helps people get closer together and you also relieve some of that sadness.
happy wheels
Your share is great, I found a lot of things in your post.
Return Man 3
I feel a lot more people need to read this, very good
info!
I commend your hard work on this and thank you for this information
192.168.1.1
A really great blog post, needed for all businesses. Thank you for sharing!

Jack
Awesome blog post, many thanks for taking the time to write this.
Awesome blog post, many thanks for taking the time to write this.
https://www.hydrosure.co.uk/domestic-moling
This type of shows up absolutely excellent. Most of these smaller specifics are set up as well as lots of record being familiar with. I like this specific quite a lot.  full article
Business growth comes only after strong leadership. Your target and your vision must be clear to you and to your team. Even if your team loses the track of the actual vision of the company then it is your duty to take it back on track For More Information.
https://www.ic.gc.ca/app/scr/cc/CorporationsCanada/fdrlCrpDtls.html?corpId=9380116
Wonderful page! I found several practical points which I’ve wasted a lot of time seeking on several other places. I would definitely advise it to anybody.

bleach brave souls hack
Pages: 1/1 First page 1 Final page
Add a comment
Emots
Enable HTML
Enable UBB
Enable Emots
Hidden
Remember
Nickname   Password   Optional
Site URI   Email   [Register]