Home EVT

Keyword: EVT

3 results found
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.

Time to Kick VaR to the Curb

Or, how two moment mean-variance killed modern finance theory.

  • July 5, 2010 September 13, 2019
  • 13:13