Lecture

Quantitative Risk Management: VaR and ES

In course

Laborum tempor ullamco esse aliqua quis ipsum ipsum eiusmod. Eiusmod aliqua enim ad exercitation quis enim dolore cupidatat do fugiat adipisicing fugiat ullamco exercitation. Exercitation minim sunt anim incididunt. Ex officia velit id sint proident. Enim sunt reprehenderit labore occaecat culpa in ullamco deserunt nostrud irure aute.

Description

This lecture covers the concepts of Value at Risk (VaR) and Expected Shortfall (ES) in quantitative risk management. It explains the importance of different confidence parameters, the calculation of VaR and ES, backtesting models, and the use of multivariate distributions to assess portfolio risks.

Instructor

ex elit culpa excepteur

Veniam sunt occaecat enim anim aliqua anim fugiat ea eu eiusmod commodo. Aute velit aute Lorem mollit do voluptate sunt est mollit. Quis veniam reprehenderit cupidatat ex cillum dolor ex deserunt. Cupidatat ex id cupidatat veniam laboris anim duis. Quis ullamco exercitation voluptate elit irure proident consectetur magna velit. Aliquip voluptate fugiat sit non.

Official source

https://mediaspace.epfl.ch/media/0_nic1n1fq

About this result

This page is automatically generated and may contain information that is not correct, complete, up-to-date, or relevant to your search query. The same applies to every other page on this website. Please make sure to verify the information with EPFL's official sources.

Ontological neighbourhood

Statistics

Statistical inference: Mathematical statistics

Economics

Microeconomics: Financial economics

Macroeconomics: Keynesian economics

Business

Business administration: Risk management

Related lectures (74)

Graph Chatbot

Chat with Graph Search

Ask any question about EPFL courses, lectures, exercises, research, news, etc. or try the example questions below.

DISCLAIMER: The Graph Chatbot is not programmed to provide explicit or categorical answers to your questions. Rather, it transforms your questions into API requests that are distributed across the various IT services officially administered by EPFL. Its purpose is solely to collect and recommend relevant references to content that you can explore to help you answer your questions.