Case Studies


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STRATEGIESVolatility clustering: absolute P&L vs absolute GARCH residualMethod of moments with flexible probabilitiesConditional vs unconditional estimationRandom walk with shifted lognormal shocksRandom walk with historical (with flexible probabilities) shocksEQUITIESEquity large time-scale risk drivers: dividend adjusted log-valueEquity log-return: ellipsoid invariance testEquity log-return: Kolmogorov-Smirnov invariance testFlexible probabilities: crispFlexible probabilities: Gaussian kernel state conditioningFlexible probabilities: exponential decayFlexible probabilities: time and state conditioning via minimum relative entropyOne-step projection: historical
Step 1: Risk drivers identification
Step 1: Risk drivers identification
Step 2: Quest for invariance
Step 2: Quest for invariance
Step 3: Estimation
Step 3: Estimation
Step 4: Projection
Step 4: Projection
Strategies risk drivers: cumulative P&L
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