The Market Rank Indicator: Measuring Financial Risk, Part 3
In the previous post of this series on measuring financial risk, I described the absorption ratio, a measure of financial market fragility based on principa...
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More Bootstrap Simulations with Portfolio Optimizer: the Autoregressive Online Bootstrap
In a previous article, I described several classical bootstrap techniques — i.i.d. bootstrap, circular block bootstrap, and stationary block bootstrap — and ...
Completing a Correlation Matrix: Another Problem from Finance
The previous post of this series on mathematical problems related to correlation matrices introduced the nearest correlation matrix problem1, which consists...
Covariance Matrix Forecasting: Average Oracle Method
Continuing this series on covariance matrix forecasting (c.f. here and there for the previous posts), I will now describe a relatively recent1 data-driven, ...
Value at Risk: Univariate Estimation Methods
Value-at-Risk (VaR) is one of the most commonly used risk measures in the financial industry1 in part thanks to its simplicity - because VaR reduces the mark...