Lecture

Quantitative Risk Management: VaR Estimation and Multivariate Distributions

In course

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Description

This lecture covers the estimation of Value at Risk (VaR) using Monte Carlo simulations, constructing confidence intervals, backtesting VaR computations, and evaluating the accuracy of VaR models. It also delves into multivariate distributions, including the multivariate normal distribution and properties such as marginal distributions, linear combinations, and conditional distributions. The lecture concludes with discussions on testing normality through QQ plots and the Jarque-Bera statistic.

Instructor

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Official source

https://mediaspace.epfl.ch/media/0_8xsxb62b

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Ontological neighbourhood

Statistics

Statistical inference: Mathematical statistics

Computer engineering

Computer networks: Search engines

Industrial and production engineering

Industrial processes: Machine tool

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