8. Capital allocation

23 Abril 2024, 13:00 • António Manuel Barbosa

---

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

8. Capital allocation

19 Abril 2024, 16:00 • António Manuel Barbosa

---

4. Monte Carlo VaR (continued)

19 Abril 2024, 14:30 • António Manuel Barbosa

---

- Modeling risk factor dependence: multivariate normal, multivariate normal mixture

4. Monte Carlo VaR

18 Abril 2024, 13:00 • António Manuel Barbosa

---

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

6. Risk model risk

12 Abril 2024, 14:30 • António Manuel Barbosa

---

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