VaR - atoti

Articles

Using Twitter to forecast cryptocurrency returns #3 – A time series analysis using VAR

Post author By Hui Fang Yeo
Post date 16 November 2020

Find out which features can forecast the returns with Granger Causality Test If you have followed my …

Tags analysis, analytics, Cryptocurrency, cryptocurrency returns, twitter, VaR

Articles

How to explain non-additive measures, Part 3: order-statistics decomposition

Post author By atoti
Post date 8 October 2020

Interactive decomposition with atoti This article is a part of a series. Check also: Part 1: Pro-rata …

Tags atoti, component VaR, measures, non-additive measures, order-statistics decomposition, statistics, value-at-risk, VaR

Articles

Market risk analytics in python: Interactive rolling VaR

Post author By atoti
Post date 10 July 2020

The Recipe for Stressed VaR calibration In this post I want to illustrate how to create an …

Tags analysis, analytics, atoti, interactive rolling VaR, market risk, python, value-at-risk, VaR