Sumários

8. Capital allocation

30 Abril 2025, 11:00 • António Manuel Barbosa

- Economic capital allocation: measurement of economic capital, RORAC, RAROC

8. Capital allocation

30 Abril 2025, 09:30 • António Manuel Barbosa

- Minimum market risk capital requirements for banks: Basel accords, internal models, standardized rules

4. Monte Carlo VaR

11 Abril 2025, 14:30 • António Manuel Barbosa

- Modeling dynamic properties in risk factor returns: multi-step vs. one-step Monte Carlo VaR, volatility clustering and mean reversion

4. Monte Carlo VaR

10 Abril 2025, 13:00 • António Manuel Barbosa

- Introduction and random number generation
- Modeling risk factor dependence: multivariate normal, multivariate SGSt

6. Risk model risk

4 Abril 2025, 14:30 • António Manuel Barbosa

- Backtesting: exceedance rates, unconditional and conditional coverage tests, independence tests, BCP tests