2. Parametric Linear VaR models (continued)

13 Março 2025, 13:00 • António Manuel Barbosa

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- Non-Normal Linear VaR: skewed generalized student t distribution

2. Parametric Linear VaR models (continued)

28 Fevereiro 2025, 14:30 • António Manuel Barbosa

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- Portfolio mapping: risk factors and risk factor sensitivities and cash-flow mapping
- Normal Linear VaR for cash-flow maps
- Exponentially Weighted Moving Average estimation of covariance matrices

2. Parametric Linear VaR models (continued)

27 Fevereiro 2025, 13:00 • António Manuel Barbosa

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- Portfolio mapping: risk factors and risk factor sensitivities and cash-flow mapping
- Normal Linear VaR for cash-flow maps

2. Parametric Linear VaR models (continued)

21 Fevereiro 2025, 14:30 • António Manuel Barbosa

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- Portfolio mapping: risk factors and risk factor sensitivities and cash-flow mapping

2. Parametric Linear VaR models (continued)

20 Fevereiro 2025, 13:00 • António Manuel Barbosa

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- Portfolio mapping: risk factors and risk factor sensitivities and cash-flow mapping