Daily Archives: Aug 29, 2018 at 10:57 am EDT

A Short Introduction On Using R For Tail-Risk Analytics

Interactive Brokers (IB) just published the second installment in a series I’m writing for the brokerage firm about using R for portfolio analysis: Modeling Tail Risk In R With Value at Risk. Today’s update (part deux) is more or less adapted from my recent book: Quantitative Investment Portfolio Analytics In R: An Introduction To R For Modeling Portfolio Risk and Return. There’s so much more to say about tail risk beyond VaR, of course, and in due course I’ll explore some of the finer points through an R lens in my IB column. Meantime, you can go deeper down this rabbit hole in Chapter 7: Modeling Tail Risk in Quantitative Investment Portfolio Analytics In R.

Macro Briefing: 29 August 2018

Canada joins US-Mexico negotiations on trade: Reuters
Sanders-backed Gillum will face GOP in Florida’s race for governor: Politico
US considers restarting war games on Korean peninsula: Guardian
Russia to hold its biggest war games since WWII: CBS
China’s navy can now challenge the US in the Pacific: NY Times
Brazil to send army to border with Venezuela to “guarantee law and order”: BBC
US Consumer Confidence Index jumped in Aug to highest level since 2000: CNBC
US goods trade deficit widened sharply in July: Reuters
Home-price growth in US continued to slow in June: MarketWatch
US Dollar Index slipped to four-week low on Tuesday: