Browsing: VaR

Posts Tagged ‘ VaR ’

Time-varying Volatility Adds a Critical Dimension to Diversification

Apr 21st, 2020 | Filed under: Newly Added, Risk management, The A.I. Industry, Risk Management Strategies & Processes, Allocating to A.I.

By Masao Matsuda, CAIA, FRM, Founder, Crossgates Investment and Risk Management In January 2020, the CAIA New York Chapter organized an event titled “Volatility? Downside Protection? Asset Allocation & Factor Management Tools for the Coming Decade.”[i] In retrospect, the event was uncannily prescient, as just a few months into the newRead More


Pairs Trading Suggested for Energy Stocks

Dec 11th, 2019 | Filed under: CAPM / Alpha Theory, Hedge Fund Strategies, Alpha & Beta, Newly Added, Alpha Strategies, ETFs, The A.I. Industry, Hedge Funds, Allocating to A.I., Finance & Economics

Carlos Salas Najera, of the New York City Data Science Academy, has tested an old idea (pairs trading) for a strategy that could be tailored to energy stocks and related ETFs. The resulting paper is “Pairs Trading and VAR Analysis Applied to Energy Stocks.” His latest paper, though, has aRead More


Burr XII, Extreme Value, and a Fantasy

Sep 15th, 2014 | Filed under: Risk management, Asset allocation

The eight authors of a new study seek to add to “the existing literature of Bayesian VaR methods by … considering the … general class of Burr XII extreme value distributions “ and by estimating error bounds. After having a little fun we try to puzzle out what that means. Read More


A Word of Caution on the Modified Distribution

Jan 29th, 2012 | Filed under: Performance, Analytics & Metrics, Hedge Fund Operations and Risk Management

Peter Urbani looks at Cornish Fisher and modified VaR as a function of skewness.Read More