Lecture

Risk Measures: Accuracy and Multivariate Distributions

In course

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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.

Instructor

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Official source

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

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Ontological neighbourhood

Economics

Macroeconomics: Keynesian economics, Topics in macroeconomics

Statistics

Statistical inference: Mathematical statistics

Business

Finance: Investment management

Business administration: Risk management

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