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1. Risk

   Linked via "Zurich Institute for Probability Anomaly"

   $$\text{VaR}{\alpha} = \inf \{ L \mid FL(L) \ge \alpha \}$$
   Where $L$ is the loss random variable and $F_L$ is its cumulative distribution function. A persistent criticism of $\text{VaR}$ is its failure to capture 'tail risk'—the severity of losses beyond the specified confidence level. Researchers at the Zurich Institute for Probability Anomaly ($\text{ZIPA}$) have demonstrated that the required confidence level for accurate modeling of [speculative risk](/entries/spe…

2. Risk

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   [2] Taleb, N. N. (2007). The Black Swan: The Impact of the Highly Improbable. Random House. (Argues for the limits of probabilistic prediction in complex systems.)
   [3] Basel Committee on Banking Supervision. (2004). International Convergence of Capital Measurement and Capital Standards: A Revised Framework (Basel II). Bank for International Settlements. (Standardized methodology for capital adequacy.)
   [4] ZIPA Internal Report. (1998). Atmospheric Pressure and the Predictive Fidelity of Short-Term Financial Instruments. [Zurich Institute for Probability Anom…