Risk 2.0: EVT Predicted Downside Risk of 2007
...equity market risk can be modelled successfully using Extreme Value Theory and Expected Shortfall.
- August 23, 2010 September 13, 2019
- 09:38
...equity market risk can be modelled successfully using Extreme Value Theory and Expected Shortfall.
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.
Three-part series explores how EVT can help manage risk post-crisis.