Beyond Value-at-Risk: Quantifying Regime Fragility via Prediction Market Event Forecasting — A Forward-Looking Risk Overlay for Systematic Portfolios
A research programme for augmenting conventional portfolio-risk views with forward-looking event probabilities and an explicit regime-fragility overlay.
01 / Method
What the research does
The paper reports an SPY backtest from 1 January 2020 to 10 January 2025, three replication passes and a prediction-market event-forecasting overlay.
02 / Limitations
What the evidence does not establish
The public reconstruction is not an exact reproduction of every historical production input. The work does not authorize autonomous trading and is not investment advice.
03 / Institutional relevance
Why the research matters
Demonstrates a research-to-artifact pathway for making event-risk assumptions visible, testable and governable alongside conventional risk measures.
04 / Full Paper
Read the complete paper
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© Little Black Journal LLP / Umran Nayani. All rights reserved. This paper is made available for reading and personal reference. No additional reuse licence is granted unless expressly stated.
05 / Citation & Provenance
Source record
- Suggested citation
- Umran Nayani. (2026). Beyond Value-at-Risk: Quantifying Regime Fragility via Prediction Market Event Forecasting — A Forward-Looking Risk Overlay for Systematic Portfolios. SSRN Electronic Journal. https://doi.org/10.2139/ssrn.6464518
- SSRN record
- SSRN 6464518
- Publication status
- Working paper published on SSRN. It is not described here as peer reviewed.
- First-party provenance
- Prepared from the verified public source record and the company’s bounded research archive. A first-party copy of the full paper is preserved on this site, with the SSRN record retained as independent publication provenance.
- Rights
- © Little Black Journal LLP / Umran Nayani. All rights reserved. This paper is made available for reading and personal reference. No additional reuse licence is granted unless expressly stated.
07 / Application
From research to institutional work
The paper is evidence of completed research, not a claim that every method has been deployed in every environment. Explore the relevant capability routes for current scope and commercial boundaries.