Lecture

Quantitative Risk Management: Risk Measures

In course

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Description

This lecture covers risk measures used in determining risk capital, capital adequacy, and insurance premiums. It discusses types of risk measures, including notional-amount approach, factor-sensitivity measures, and risk measures based on loss distributions. The lecture also explains scenario-based risk measures and common methods for computing risk measures in a market risk context.

Instructor

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Official source

https://mediaspace.epfl.ch/media/0_ecxr6vt9

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Ontological neighbourhood

Business

Business administration: Risk management

Statistics

Statistical inference: Mathematical statistics

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