The Sky Falls? The Sky Falls?

From Wolfram Blog rain in England around Swithun's day .

St. Swithun’s day if thou dost rain
For forty days it will remain
St. Swithun’s day if thou be fair
For forty days ’twill rain no more

Jon Mac Loone from Wolfram Reasearch, International Strategic Development tested, whether this is "true".

If you would bet on reverse rain floaters? A portfolio built of locations?

Inspired by an article of Aaron Brown in Wilmott magazine, Jul-09:

In financial risk management you might calculate VaR that, simplified, tells you, that there is a 1% chance your trading position would lose more than VaR (the days you get really wet in double sense).
But this is not enough. Risk managers should perform backtests like

• the actual fraction of VaR break days is 1% within statistical tolerance?
• the VaR breaks are randomly distributed (avoid Swithun situations)?
• the VaR breaks are independent of the level of VaR?

If you have the VaR, which calculation can become nasty with the most sophisticated deal types (you can do it in UnRisk), back testing is as simple as in Jon’s example. In Mathematica..