Concept
RiskMetrics
Related lectures (14)
Quantitative Risk Management: Volatility Modeling
Covers volatility modeling in risk management, including ARMA, ARCH, GARCH models, causal representation, and forecasting.
Convergence Analysis: Stochastic Gradient Algorithms
Explores the convergence analysis of stochastic gradient algorithms under various operational modes and step-size sequences.
Aggregate Risk: Coherent Risk Measures
Explores the importance of aggregate risk and coherent risk measures, including their interpretation and implications.
Financial Time Series: GARCH Processes
Covers GARCH processes for financial time series analysis.
Quantitative Risk Management: VaR and ES
Covers Value at Risk (VaR) and Expected Shortfall (ES) in risk management, including backtesting and multivariate distributions.
Quantitative Risk Management: Risk Measures
Covers risk measures used for determining risk capital and capital adequacy.
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.
Quantitative Risk Management: Tools and Examples
Explores quantitative risk management tools, Historical Value-At-Risk estimation challenges, CCAR scenarios, and fitting return processes.
Quantitative Risk Management
Covers statistical tools for financial risk modeling, history of risk management, and Basel Accords.
Risk Measures: VaR and ES
Explores Value-at-Risk and Expected Shortfall as key risk measures in financial risk management.