Author: Jérémie Smaga

Why you should not use JustCloud for your backups!
Today I wanted to share with you my experience using the services of JustCloud to backup my personal file. I started looking for a cloud backup solution about 2 years ago, since I had accumulated a considerable amount of personal data I did not want to lose and as I knew that personal backups such as external…

The early days of Quantitative Finance
A lot of people start studying Quantitative Finance because they see it as a great way to earn money. It seems indeed reasonable that somebody with great mathematical skills would be looking for opportunities allowing him to make a profit — sometimes at the expense of others. I can still remember like yesterday seeing a…

Implied odds behind lay betting
In a precedent post, I introduced the concept of back and lay bets on a given event, for example the fact that it will rain on a given day. We also said that we are given some odds $o$, which express how much we can earn if we guess the right outcome between the event…

Expected Shortfall closedform for Normal distribution
Today, I would like to share a little exercise I did to compute the Expected Shortfall of a normal variable. For those of you who are not familiar with this risk measure, it evaluates the average of the $(1\alpha)$worst outcomes of a probability distribution (example and formal definition follow). If you have enough data, the…

An introduction to Risk Parity
Hello everyone! In this post, I’d like to start talking again about asset allocation and in particular to introduce you to a relatively new concept in the field: risk parity. Don’t get me wrong, this approach has been around for quite a while now — I think the first to create a product around this…