Extreme Value Theory

Let’s talk about tail risk modelling today. In this blog, I want to introduce Extreme Value Theory (EVT) which concerns itself with modelling of the tails of a distribution, and its key results.  As we go along we will work through a toy example with basic R implementation.  There are two popular parametric approaches to … More Extreme Value Theory

Quantile Regression

In this post, I would like to quickly introduce what I believe to be an underutilized modelling technique that belongs in most analysts’ toolkit: the quantile regression model. As I am discussing some of the main points, I will be working with R’s quantreg package that is maintained by the inventor of quantile regression. See … More Quantile Regression

Flexible Distributions for Asset Returns – Part I [Generalized Lambda Distribution]

It is commonly known that financial returns exhibit characteristics that are not captured by the widely applied normal and log-normal distributions.  In a series of posts I want to present some flexible distributions that are well suited to model financial returns.  We will work our way through quick modelling exercises in R that show how … More Flexible Distributions for Asset Returns – Part I [Generalized Lambda Distribution]