Risk Measures and Multivariate Distributions

In course

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Description

This lecture covers risk measures, including VaR and ES computation methods such as variance-covariance, Monte Carlo simulation, and historical simulation. It also discusses backtesting examples and multivariate distributions for assessing portfolio risks.

Instructor

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Official source

https://mediaspace.epfl.ch/media/0_yorij0s7

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Ontological neighbourhood

Statistics

Statistical inference: Mathematical statistics

Business

Business administration: Risk management

Economics

Microeconomics: Financial economics

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