Concept
Entropic value at risk
Related lectures (25)
Quantitative Risk Management: VaR and ES
Covers Value at Risk (VaR) and Expected Shortfall (ES) in risk management, including backtesting and multivariate distributions.
Risk Measures: VaR and ES
Explores Value-at-Risk and Expected Shortfall as key risk measures in financial risk management.
Risk Management: Quantitative Methods
Explores risk management concepts, including VaR, ES, and measurement methods.
Aggregate Risk: Coherent Risk Measures
Explores the importance of aggregate risk and coherent risk measures, including their interpretation and implications.
Quantitative Risk Management: Risk Measures
Covers risk measures used for determining risk capital and capital adequacy.
Risk Analysis in Project Management
Explores risk analysis in project management, focusing on measuring, managing, and minimizing risks to achieve project success.
Stochastic Optimization: Portfolio Optimization
Explores stochastic optimization in portfolio management, emphasizing decision criteria for uncertain objectives and the concept of conditional value-at-risk.
Portfolio Optimization: Models and Strategies
Explores portfolio optimization models and strategies under uncertainty, emphasizing decision criteria like value-at-risk and mean-variance functional.
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 Measures and Multivariate Distributions
Covers risk measures, VaR, ES computation, backtesting, and multivariate distributions for portfolio risk assessment.