Risk Measures: Accuracy and Multivariate Distributions

In course

Description

This lecture covers the evaluation of risk measures such as Value at Risk (VaR) and Expected Shortfall (ES) using methods like Monte Carlo simulation and historical simulation. It also discusses the construction of confidence intervals for VaR estimates and the importance of multivariate distributions in assessing portfolio risks.

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Official source

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

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