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Lecture
Risk Measures: VaR and ES
Description
This lecture covers risk measures used in financial risk management, focusing on Value-at-Risk (VaR) and Expected Shortfall (ES). It explains different types of risk measures, including the notional-amount approach and factor-sensitivity measures. The lecture also discusses the computation methods for VaR and ES, such as the Variance-Covariance method and Historical Simulation. Strengths and weaknesses of each method are highlighted, emphasizing the importance of choosing the appropriate method based on the characteristics of the portfolio and risk factors.
Official source
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