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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Book Bits | 4 February 2017

Black Edge: Inside Information, Dirty Money, and the Quest to Bring Down the Most Wanted Man on Wall Street
By Sheelah Kolhatkar
Review via Bloomberg BusinessWeek
Steve Cohen had a target on his back. The government was determined to prove that the hedge fund manager, known on Wall Street for eye-popping annual returns of 30 percent, made some of his billions trading on inside information. Sheelah Kolhatkar, a staff writer at the New Yorker (and a former correspondent for this magazine), has written a fast-paced tale of how the feds worked for almost a decade to build a case against him, and why they couldn’t indict him, in Black Edge: Inside Information, Dirty Money, and the Quest to Bring Down the Most Wanted Man on Wall Street
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Risk Premia Forecasts: Major Asset Classes | 2 February 2017

The projected risk premium for the Global Market Index (GMI) was unchanged for a second month in a row in January, holding steady at the highest level in over two years. GMI, an unmanaged market-value weighted mix of the major asset classes, is currently projected to earn an annualized 4.3% over the long term – matching the two previous estimates (here and here).
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Major Asset Classes | January 2017 | Performance Review

Most markets around the world continued to rise in 2017’s opening month, building on last year’s broadly positive close. Leading the way higher in January: emerging-market stocks (MSCI EM), with foreign high-yield bonds in second place (Markit Global ex-US High Yield). Last month’s bottom performer: US real estate investment trusts via MSCI US REIT, which is unchanged so far this year.
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