Lectures related to Spectral risk measure

Explores the importance of aggregate risk and coherent risk measures, including their interpretation and implications.

Coherent Risk Measures: Spectral Approach

Explores coherent risk measures and the spectral approach to risk aversion, covering VaR, ES, subadditivity, convexity, and the creation of new risk measures.

Risk Management: Quantitative Methods

Explores risk management concepts, including VaR, ES, and measurement methods.

Quantitative Risk Management: Risk Measures

Covers risk measures used for determining risk capital and capital adequacy.

Risk Measures: VaR and ES

Explores Value-at-Risk and Expected Shortfall as key risk measures in financial risk management.

Risk Measures: Accuracy and Multivariate Distributions

Discusses risk measure evaluation, confidence intervals, and multivariate distributions for portfolio risk assessment.

Statistical Analysis of Extremes: Risk Measures & Inference

Explores risk measures, inference techniques, and statistical analysis of extreme values.