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Lecture
Risk Management: Quantitative Methods
Description
This lecture covers the basic concepts of risk management, including loss calculation, risk factors, linearized loss, risk measures, and types of risk measures. It delves into the concepts of Value-at-Risk (VaR), Expected Shortfall (ES), and different methods for risk measurement such as Variance-Covariance, Historical Simulation, and Monte Carlo simulation. The instructor explains the strengths and weaknesses of each method, emphasizing the importance of choosing the right confidence level and horizon parameter for accurate risk assessment.
Official source
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