Daily Archives: Feb 7, 2017 at 07:05 am EDT

Tail-Risk Analysis In R: Part II — Extreme Value Theory

The financial crisis of 2008 devastated portfolios far and wide and brought the global economy to the brink of collapse. It was a disaster, but there was at least one positive outcome from the debacle: a wider recognition that tail risk is a real and present danger that’s forever lurking. The challenge is deciding how to model and manage the risk. You won’t find any easy solutions, but there are practical tools for estimating a portfolio’s vulnerability.
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