HVaR: Predicting the Past

Equity markets globally have seen incredible growth over the past decades. In the US, public companies’ total combined market cap has almost tripled in value over the past 10 years alone, now at levels close to $50 trillion.

A significant contribution to this growth comes from relatively new companies, many of the companies representing this value were started during the past 10 years. For investors globally, this poses an interesting challenge in terms of risk analytics and the lack of historical data, especially when looking at Historical Value at Risk (HVaR).

Dr. Lance Smith & Dr. Damoon Robatian are examining this in the white paper “Predicting the Past”.

Download the white paper to learn more