VaR Model Evaluation

In course

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Description

This lecture covers the evaluation of Monte Carlo VaR accuracy, construction of confidence intervals, backtesting VaR computations, and testing the validity of a VaR model. It also discusses multivariate distributions and methods for assessing normality. The instructor, Semyon Malamud, explains how to generate estimates, construct confidence intervals, and analyze the distribution of VaR breaches.

Instructor

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Official source

https://mediaspace.epfl.ch/media/0_uwfix3ov

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Ontological neighbourhood

Statistics

Statistical inference: Mathematical statistics

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