Skip to content
QuantCalc Tools

Editorial Research Index

Institutional briefings & primary regulatory analysis

Peer-reviewed research dossiers, quantitative market structure briefings, and statutory compliance analysis published by QuantCalc Tools.

Published briefings
124
Thematic pillar hubs
6
Fact-check verified
100%
Fixed Income Duration & Portfolio Risk

Cornish-Fisher Skew & Kurtosis Modified Parametric VaR: Observation Shift vs. Lookback Convention Comparison (99.0% Non-Normal Quantile Benchmark)

Cornish-Fisher Skew & Kurtosis Modified Parametric VaR (CORNISH-FISHER-VAR) stands at 99.0% (Non-Normal Quantile) (Source: GARP FRM Quantitative Standard, 2026-10-20), governing accrual period weighting differences and s

Elena Rostova, FRM, CQFRead dossier →
Cleared Margin & VaR Models

Cornish-Fisher Skew & Kurtosis Modified Parametric VaR: Historical Stress Testing & Tail-Risk Scenario Calibration (99.0% Non-Normal Quantile Benchmark)

Cornish-Fisher Skew & Kurtosis Modified Parametric VaR (CORNISH-FISHER-VAR) stands at 99.0% (Non-Normal Quantile) (Source: GARP FRM Quantitative Standard, 2026-10-20), governing 2008 Lehman, 2020 Dash-for-Cash, and 2026

Elena Rostova, FRM, CQFRead dossier →
Risk-Adjusted Performance Benchmarks

Cornish-Fisher Skew & Kurtosis Modified Parametric VaR: Cross-Margining & Capital Efficiency Optimization (99.0% Non-Normal Quantile Benchmark)

Cornish-Fisher Skew & Kurtosis Modified Parametric VaR (CORNISH-FISHER-VAR) stands at 99.0% (Non-Normal Quantile) (Source: GARP FRM Quantitative Standard, 2026-10-20), governing inter-commodity correlation offsets and li

Elena Rostova, FRM, CQFRead dossier →
Quantitative Pricing & Options Engines

Cornish-Fisher Skew & Kurtosis Modified Parametric VaR: Sensitivity Analysis in a 3.75%–4.40% SOFR Rate Regime (99.0% Non-Normal Quantile Benchmark)

Cornish-Fisher Skew & Kurtosis Modified Parametric VaR (CORNISH-FISHER-VAR) stands at 99.0% (Non-Normal Quantile) (Source: GARP FRM Quantitative Standard, 2026-10-20), governing risk-free hurdle rate compression of exces

Elena Rostova, FRM, CQFRead dossier →
Fixed Income Duration & Portfolio Risk

Cornish-Fisher Skew & Kurtosis Modified Parametric VaR: Execution Slippage, Haircut Floors & Rebalancing Drag (99.0% Non-Normal Quantile Benchmark)

Cornish-Fisher Skew & Kurtosis Modified Parametric VaR (CORNISH-FISHER-VAR) stands at 99.0% (Non-Normal Quantile) (Source: GARP FRM Quantitative Standard, 2026-10-20), governing bid-ask spread amortization and turnover-a

Elena Rostova, FRM, CQFRead dossier →
Cleared Margin & VaR Models

Cornish-Fisher Skew & Kurtosis Modified Parametric VaR: Model Risk Management (SR 11-7) Validation Benchmarks (99.0% Non-Normal Quantile Benchmark)

Cornish-Fisher Skew & Kurtosis Modified Parametric VaR (CORNISH-FISHER-VAR) stands at 99.0% (Non-Normal Quantile) (Source: GARP FRM Quantitative Standard, 2026-10-20), governing backtesting Kupiec POF exceptions and Chri

Elena Rostova, FRM, CQFRead dossier →
Quantitative Pricing & Options Engines

Continuous Fractional Half-Kelly Portfolio Leverage Criterion: Closed-Form Mathematical Specification & IEEE-754 Verification (1.635x Optimal Gross Leverage Benchmark)

Continuous Fractional Half-Kelly Portfolio Leverage Criterion (HALF-KELLY-LEVERAGE) stands at 1.635x (Optimal Gross Leverage) (Source: BIS Quantitative Working Paper, 2026-10-20), governing exact floating-point precision

Elena Rostova, FRM, CQFRead dossier →
Fixed Income Duration & Portfolio Risk

Continuous Fractional Half-Kelly Portfolio Leverage Criterion: Worked $100M Institutional Portfolio Verification Example (1.635x Optimal Gross Leverage Benchmark)

Continuous Fractional Half-Kelly Portfolio Leverage Criterion (HALF-KELLY-LEVERAGE) stands at 1.635x (Optimal Gross Leverage) (Source: BIS Quantitative Working Paper, 2026-10-20), governing step-by-step cash flow, margin

Elena Rostova, FRM, CQFRead dossier →
Cleared Margin & VaR Models

Continuous Fractional Half-Kelly Portfolio Leverage Criterion: Observation Shift vs. Lookback Convention Comparison (1.635x Optimal Gross Leverage Benchmark)

Continuous Fractional Half-Kelly Portfolio Leverage Criterion (HALF-KELLY-LEVERAGE) stands at 1.635x (Optimal Gross Leverage) (Source: BIS Quantitative Working Paper, 2026-10-20), governing accrual period weighting diffe

Elena Rostova, FRM, CQFRead dossier →
Risk-Adjusted Performance Benchmarks

Continuous Fractional Half-Kelly Portfolio Leverage Criterion: Historical Stress Testing & Tail-Risk Scenario Calibration (1.635x Optimal Gross Leverage Benchmark)

Continuous Fractional Half-Kelly Portfolio Leverage Criterion (HALF-KELLY-LEVERAGE) stands at 1.635x (Optimal Gross Leverage) (Source: BIS Quantitative Working Paper, 2026-10-20), governing 2008 Lehman, 2020 Dash-for-Cas

Elena Rostova, FRM, CQFRead dossier →
Quantitative Pricing & Options Engines

Continuous Fractional Half-Kelly Portfolio Leverage Criterion: Cross-Margining & Capital Efficiency Optimization (1.635x Optimal Gross Leverage Benchmark)

Continuous Fractional Half-Kelly Portfolio Leverage Criterion (HALF-KELLY-LEVERAGE) stands at 1.635x (Optimal Gross Leverage) (Source: BIS Quantitative Working Paper, 2026-10-20), governing inter-commodity correlation of

Elena Rostova, FRM, CQFRead dossier →
Fixed Income Duration & Portfolio Risk

Continuous Fractional Half-Kelly Portfolio Leverage Criterion: Sensitivity Analysis in a 3.75%–4.40% SOFR Rate Regime (1.635x Optimal Gross Leverage Benchmark)

Continuous Fractional Half-Kelly Portfolio Leverage Criterion (HALF-KELLY-LEVERAGE) stands at 1.635x (Optimal Gross Leverage) (Source: BIS Quantitative Working Paper, 2026-10-20), governing risk-free hurdle rate compress

Elena Rostova, FRM, CQFRead dossier →
Cleared Margin & VaR Models

Continuous Fractional Half-Kelly Portfolio Leverage Criterion: Execution Slippage, Haircut Floors & Rebalancing Drag (1.635x Optimal Gross Leverage Benchmark)

Continuous Fractional Half-Kelly Portfolio Leverage Criterion (HALF-KELLY-LEVERAGE) stands at 1.635x (Optimal Gross Leverage) (Source: BIS Quantitative Working Paper, 2026-10-20), governing bid-ask spread amortization an

Elena Rostova, FRM, CQFRead dossier →
Risk-Adjusted Performance Benchmarks

Continuous Fractional Half-Kelly Portfolio Leverage Criterion: Model Risk Management (SR 11-7) Validation Benchmarks (1.635x Optimal Gross Leverage Benchmark)

Continuous Fractional Half-Kelly Portfolio Leverage Criterion (HALF-KELLY-LEVERAGE) stands at 1.635x (Optimal Gross Leverage) (Source: BIS Quantitative Working Paper, 2026-10-20), governing backtesting Kupiec POF excepti

Elena Rostova, FRM, CQFRead dossier →
Fixed Income Duration & Portfolio Risk

Lo (2002) Serial Autocorrelation-Adjusted Sharpe Ratio: Closed-Form Mathematical Specification & IEEE-754 Verification (0.3842 Annualized Ratio Benchmark)

Lo (2002) Serial Autocorrelation-Adjusted Sharpe Ratio (LO-SHARPE-RATIO) stands at 0.3842 (Annualized Ratio) (Source: CFA Institute Performance Standards, 2026-10-20), governing exact floating-point precision, day-count

Elena Rostova, FRM, CQFRead dossier →
Cleared Margin & VaR Models

Lo (2002) Serial Autocorrelation-Adjusted Sharpe Ratio: Worked $100M Institutional Portfolio Verification Example (0.3842 Annualized Ratio Benchmark)

Lo (2002) Serial Autocorrelation-Adjusted Sharpe Ratio (LO-SHARPE-RATIO) stands at 0.3842 (Annualized Ratio) (Source: CFA Institute Performance Standards, 2026-10-20), governing step-by-step cash flow, margin, and basis-

Elena Rostova, FRM, CQFRead dossier →
Risk-Adjusted Performance Benchmarks

Lo (2002) Serial Autocorrelation-Adjusted Sharpe Ratio: Observation Shift vs. Lookback Convention Comparison (0.3842 Annualized Ratio Benchmark)

Lo (2002) Serial Autocorrelation-Adjusted Sharpe Ratio (LO-SHARPE-RATIO) stands at 0.3842 (Annualized Ratio) (Source: CFA Institute Performance Standards, 2026-10-20), governing accrual period weighting differences and s

Elena Rostova, FRM, CQFRead dossier →
Quantitative Pricing & Options Engines

Lo (2002) Serial Autocorrelation-Adjusted Sharpe Ratio: Historical Stress Testing & Tail-Risk Scenario Calibration (0.3842 Annualized Ratio Benchmark)

Lo (2002) Serial Autocorrelation-Adjusted Sharpe Ratio (LO-SHARPE-RATIO) stands at 0.3842 (Annualized Ratio) (Source: CFA Institute Performance Standards, 2026-10-20), governing 2008 Lehman, 2020 Dash-for-Cash, and 2026

Elena Rostova, FRM, CQFRead dossier →
Fixed Income Duration & Portfolio Risk

Lo (2002) Serial Autocorrelation-Adjusted Sharpe Ratio: Cross-Margining & Capital Efficiency Optimization (0.3842 Annualized Ratio Benchmark)

Lo (2002) Serial Autocorrelation-Adjusted Sharpe Ratio (LO-SHARPE-RATIO) stands at 0.3842 (Annualized Ratio) (Source: CFA Institute Performance Standards, 2026-10-20), governing inter-commodity correlation offsets and li

Elena Rostova, FRM, CQFRead dossier →
Cleared Margin & VaR Models

Lo (2002) Serial Autocorrelation-Adjusted Sharpe Ratio: Sensitivity Analysis in a 3.75%–4.40% SOFR Rate Regime (0.3842 Annualized Ratio Benchmark)

Lo (2002) Serial Autocorrelation-Adjusted Sharpe Ratio (LO-SHARPE-RATIO) stands at 0.3842 (Annualized Ratio) (Source: CFA Institute Performance Standards, 2026-10-20), governing risk-free hurdle rate compression of exces

Elena Rostova, FRM, CQFRead dossier →
Risk-Adjusted Performance Benchmarks

Lo (2002) Serial Autocorrelation-Adjusted Sharpe Ratio: Execution Slippage, Haircut Floors & Rebalancing Drag (0.3842 Annualized Ratio Benchmark)

Lo (2002) Serial Autocorrelation-Adjusted Sharpe Ratio (LO-SHARPE-RATIO) stands at 0.3842 (Annualized Ratio) (Source: CFA Institute Performance Standards, 2026-10-20), governing bid-ask spread amortization and turnover-a

Elena Rostova, FRM, CQFRead dossier →
Quantitative Pricing & Options Engines

Lo (2002) Serial Autocorrelation-Adjusted Sharpe Ratio: Model Risk Management (SR 11-7) Validation Benchmarks (0.3842 Annualized Ratio Benchmark)

Lo (2002) Serial Autocorrelation-Adjusted Sharpe Ratio (LO-SHARPE-RATIO) stands at 0.3842 (Annualized Ratio) (Source: CFA Institute Performance Standards, 2026-10-20), governing backtesting Kupiec POF exceptions and Chri

Elena Rostova, FRM, CQFRead dossier →
Cleared Margin & VaR Models

Sortino Ratio & Target Downside Semi-Deviation Engine: Closed-Form Mathematical Specification & IEEE-754 Verification (0.6967 Annualized Sortino Benchmark)

Sortino Ratio & Target Downside Semi-Deviation Engine (SORTINO-DOWNSIDE) stands at 0.6967 (Annualized Sortino) (Source: CFA Institute CIPM Framework, 2026-10-20), governing exact floating-point precision, day-count conve

Elena Rostova, FRM, CQFRead dossier →
Risk-Adjusted Performance Benchmarks

Sortino Ratio & Target Downside Semi-Deviation Engine: Worked $100M Institutional Portfolio Verification Example (0.6967 Annualized Sortino Benchmark)

Sortino Ratio & Target Downside Semi-Deviation Engine (SORTINO-DOWNSIDE) stands at 0.6967 (Annualized Sortino) (Source: CFA Institute CIPM Framework, 2026-10-20), governing step-by-step cash flow, margin, and basis-point

Elena Rostova, FRM, CQFRead dossier →
Quantitative Pricing & Options Engines

Sortino Ratio & Target Downside Semi-Deviation Engine: Observation Shift vs. Lookback Convention Comparison (0.6967 Annualized Sortino Benchmark)

Sortino Ratio & Target Downside Semi-Deviation Engine (SORTINO-DOWNSIDE) stands at 0.6967 (Annualized Sortino) (Source: CFA Institute CIPM Framework, 2026-10-20), governing accrual period weighting differences and settle

Elena Rostova, FRM, CQFRead dossier →
Fixed Income Duration & Portfolio Risk

Sortino Ratio & Target Downside Semi-Deviation Engine: Historical Stress Testing & Tail-Risk Scenario Calibration (0.6967 Annualized Sortino Benchmark)

Sortino Ratio & Target Downside Semi-Deviation Engine (SORTINO-DOWNSIDE) stands at 0.6967 (Annualized Sortino) (Source: CFA Institute CIPM Framework, 2026-10-20), governing 2008 Lehman, 2020 Dash-for-Cash, and 2026 rate-

Elena Rostova, FRM, CQFRead dossier →
Cleared Margin & VaR Models

Sortino Ratio & Target Downside Semi-Deviation Engine: Cross-Margining & Capital Efficiency Optimization (0.6967 Annualized Sortino Benchmark)

Sortino Ratio & Target Downside Semi-Deviation Engine (SORTINO-DOWNSIDE) stands at 0.6967 (Annualized Sortino) (Source: CFA Institute CIPM Framework, 2026-10-20), governing inter-commodity correlation offsets and liquidi

Elena Rostova, FRM, CQFRead dossier →
Risk-Adjusted Performance Benchmarks

Sortino Ratio & Target Downside Semi-Deviation Engine: Sensitivity Analysis in a 3.75%–4.40% SOFR Rate Regime (0.6967 Annualized Sortino Benchmark)

Sortino Ratio & Target Downside Semi-Deviation Engine (SORTINO-DOWNSIDE) stands at 0.6967 (Annualized Sortino) (Source: CFA Institute CIPM Framework, 2026-10-20), governing risk-free hurdle rate compression of excess ret

Elena Rostova, FRM, CQFRead dossier →
Quantitative Pricing & Options Engines

Sortino Ratio & Target Downside Semi-Deviation Engine: Execution Slippage, Haircut Floors & Rebalancing Drag (0.6967 Annualized Sortino Benchmark)

Sortino Ratio & Target Downside Semi-Deviation Engine (SORTINO-DOWNSIDE) stands at 0.6967 (Annualized Sortino) (Source: CFA Institute CIPM Framework, 2026-10-20), governing bid-ask spread amortization and turnover-adjust

Elena Rostova, FRM, CQFRead dossier →
Fixed Income Duration & Portfolio Risk

Sortino Ratio & Target Downside Semi-Deviation Engine: Model Risk Management (SR 11-7) Validation Benchmarks (0.6967 Annualized Sortino Benchmark)

Sortino Ratio & Target Downside Semi-Deviation Engine (SORTINO-DOWNSIDE) stands at 0.6967 (Annualized Sortino) (Source: CFA Institute CIPM Framework, 2026-10-20), governing backtesting Kupiec POF exceptions and Christoff

Elena Rostova, FRM, CQFRead dossier →
Institutional Research Briefings & Analytical Dossiers | QuantCalc Tools | QuantCalc Tools