Academic Workshops on RedES(tm).
A NEW RISK METRIC comfortable with black swans and short time series.
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RedES(tm) is a new risk measure developed by Redexe Risk Management & Finance, able to take into account "rare" events, the so called "black swans", working well with just a few historical samples. It is based on Pareto-Lévy Stable statistics and data clustering.
During the workshops, Riccardo Donati introduced the formulation of RedES, and a massive testing. You can find slides and docs taken from a workshop held in 2010.
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