Quantifying the Impact of Stale Tail Risk Calibrations
An introduction to tail risk models and experiment on how quickly performance degrades after calibration.
Fat-Tailed
Converting Between Fat-Tailed Distributions
A set of rules of thumb that I’ve fit to convert between the most popular fat-tailed distributions.
Modeling Stock Market Corrections Over 150 Years
How fast does the stock market correct back to long-term trends? Let’s fit a fat-tailed, skewed stochastic model to find out.