Tag: Risk Management

Asset Pricing using Extreme Liquidity with Python (Part-2)

POST OUTLINE * Part-1 Recap * Part-1 Error Corrections * Part-2 Implementation Details, Deviations, Goals * Prepare Data * Setup PYMC3 Generalized Linear Models (GLM) * Evaluate and Interprate Models * Conclusions * References part-1 recap In part 1 We discussed the theorized underpinnings of Ying Wu of Stevens Institute of Technology - School's asset pricing model. Theory links the catalyst of systemic risk events to the funding difficulties of major financial intermediaries. Thus c

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Asset Pricing using Extreme Liquidity Risk with Python (Part-1)

Post Outline * Introduction * Get Data * Calculate Cross-Sectional Extreme Liquidity Risk * Quick and Dirty Observations * Next Steps * References iNTRODUCTION One of the primary goals of quantitative investing is effectively managing tail risk. Failure to do so can result in crushing drawdowns or a total blowup of your fund/portfolio. Commonly known tools for estimating tail risk, e.g. Value-at-Risk, often underestimate the likelihood and magnitude of risk-off events. Furthermore, tai

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