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Keyword: Ana Cascon and William F. Shadwick

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Mitigating Bubble Risk

Can you do it for fun and profit?

Risk 2.0: EVT Predicted Downside Risk of 2007

...equity market risk can be modelled successfully using Extreme Value Theory and Expected Shortfall.

Risk 2.0: A Revisionist Take on 1929

In this week’s installment, we travel back in time to see what our risk technology, based on EVT and Expected Shortfall (ES), would have told a US equity investor in the run-up to the 1929 Crash.