Latest posts
-
🚀 “Risk on Repeat” — A Bootstrap Journey Through Nonparametric Risk Estimation
Let’s imagine you’re trying to guess how badly your investments might behave on a bad day. You gather data from past performance, hoping history will be a good $($or bad$)$ teacher. But instead of just looking back once, you decide to ask history over and over — like a clingy ex who keeps showing up.…
-
đź’Ł Risk Measures: When VaR Leaves You Guessing
1. What’s the Big Deal with VaR Anyway? Let’s begin with a bold truth: Value at Risk $($VaR$)$ is like your GPS saying “You may hit traffic… but I won’t tell you how bad it gets after that.” It tells you the maximum loss you might incur with a certain level of confidence, say $99…
-
📉 Value at Risk: A Drama in Two Distributions
Imagine you’re sailing a financial ship through unpredictable markets — sunshine one moment, a storm the next. How do you estimate how bad the next wave could be? Value at Risk $($VaR$)$ is your early-warning radar. It answers the critical question: “What’s the most I could lose, with a certain confidence, over a specific time…