EVT – Benefits Canada.com https://www.benefitscanada.com Canada's most influential pension and benefits publication for decision-makers Thu, 21 Nov 2024 22:24:05 +0000 en-US hourly 1 https://wordpress.org/?v=4.9.8 Risk 2.0: EVT Predicted Downside Risk of 2007 https://www.benefitscanada.com/canadian-investment-review/research-markets/risk-2-0-evt-predicted-downside-risk-of-2007/ https://www.benefitscanada.com/canadian-investment-review/research-markets/risk-2-0-evt-predicted-downside-risk-of-2007/#respond Mon, 23 Aug 2010 05:38:17 +0000 https://cumulus.benefitscanada.com/uncategorized/risk-2-0-evt-predicted-downside-risk-of-2007/ ...equity market risk can be modelled successfully using Extreme Value Theory and Expected Shortfall.

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]]> https://www.benefitscanada.com/canadian-investment-review/research-markets/risk-2-0-evt-predicted-downside-risk-of-2007/feed/ 0 Risk 2.0: A Revisionist Take on 1929 https://www.benefitscanada.com/canadian-investment-review/research-markets/risk-2-0-a-revisionist-take-on-1929/ https://www.benefitscanada.com/canadian-investment-review/research-markets/risk-2-0-a-revisionist-take-on-1929/#respond Mon, 16 Aug 2010 06:40:42 +0000 https://cumulus.benefitscanada.com/uncategorized/risk-2-0-a-revisionist-take-on-1929/ 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.

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]]> https://www.benefitscanada.com/canadian-investment-review/research-markets/risk-2-0-a-revisionist-take-on-1929/feed/ 0 Time to Kick VaR to the Curb https://www.benefitscanada.com/expertpanel_/tristram-lett/time-to-kick-var-to-the-curb/ https://www.benefitscanada.com/expertpanel_/tristram-lett/time-to-kick-var-to-the-curb/#respond Mon, 05 Jul 2010 09:13:50 +0000 https://cumulus.benefitscanada.com/uncategorized/time-to-kick-var-to-the-curb/ Or, how two moment mean-variance killed modern finance theory.

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