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quaintitative
my quaint quant explorations // playgrd.com // quaintitative.com
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Expected Shortfall in Python

[Post is also available at quaintitative.com]

Google VAR and you will find lots of criticisms on VAR as a measure of market risk. And you will inevitably see Expected Shortfall (ES) being put forward as an alternative.


Monte Carlo Simulation of Value at Risk in Python

[Post is also available at quaintitative.com]

If you recall the basics of the notebook where we provided an introduction on market risk measures and VAR, you will recall that parametric VAR simply assumes a…


Measuring Market Risk in Python

[Post is also available at quaintitative.com]

VAR is a common term that one would usually come across in finance when it comes to the measurement of market risks.


Don’t overfit! Why we need to select factors for data science.

We went through multi-variate regression previously here.

In deciding on what features to include in a regression (and for any model in data science), it is definitely not a good thing to throw…


Primer on Polynomial Regression in Python

We went through linear regression at the notebook here previously.

Many relationships are obviously not linear, so we need something else for nonlinear relationships.