Risk Measures: Accuracy and Multivariate Distributions

Related lectures (31)

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Covers the construction of confidence intervals for a normal distribution with unknown mean and variance.

Explores probability distributions for random variables in air pollution and climate change studies, covering descriptive and inferential statistics.

Explores the tradeoff between risk and return in portfolios, the benefits of diversification, and the impact of correlation on portfolio risk.

Discusses Monte Carlo VaR accuracy, confidence intervals, backtesting, and multivariate distributions.

Explores risk measures, inference techniques, and statistical analysis of extreme values.

Covers risk measures used in determining risk capital and insurance premiums.

Covers risk and return tradeoffs in portfolios, diversification benefits, and the efficient frontier with multiple assets.

Explores common probability distributions, special distributions, and entropy concepts.

Explores asset pricing puzzles, risk-return dynamics, and utility models in financial economics.

Explores central banking functions, monetary policy tools, and transmission mechanisms, including the debate on central bank independence.