Trading

Extracting Stock Price Data from Yahoo via R

Arguably one of Yahoo's most valuable assets, aside from its stake in BABA, was it's finance website. Few sites, including Google, have such readily (freely) accessible and easily digestible financial information on US equities than Yahoo does. Of course, for the financially sophisticated there are far superior sites that have advanced charting platforms and useful visualizations (TradingView and FinViz come to mind),…

Risk Factor Back-Testing

P&L exceeding VaR limits is not an uncommon phenomenon. In fact, (accurate) VaR models should be designed such that there is some expectation of P&L exceeding the VaR (the number of breaches being proportionate to the level of confidence). However, in practice, whenever P&L exceeds VaR it is prudent to investigate why the breach has occurred. For OSFI-regulated financial institutions,…