Are you an EPFL student looking for a semester project?
Work with us on data science and visualisation projects, and deploy your project as an app on top of Graph Search.
This lecture covers the estimation of Value at Risk (VaR) using Monte Carlo simulations, constructing confidence intervals, backtesting VaR computations, and evaluating the accuracy of VaR models. It also delves into multivariate distributions, including the multivariate normal distribution and properties such as marginal distributions, linear combinations, and conditional distributions. The lecture concludes with discussions on testing normality through QQ plots and the Jarque-Bera statistic.