Lecture

VaR Model Evaluation

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.

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