3. Historical Simulation (continued)

15 Março 2024, 14:30 • António Manuel Barbosa

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- Historical VaR for linear portfolios: volatility adjustment and estimation of specific VaR for a stock portfolio, marginal historical VaR

3. Historical Simulation (continued)

14 Março 2024, 13:00 • António Manuel Barbosa

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- Improving the sensitivity of historical VaR to changing market conditions: volatility adjustment of returns and filtered historical simulation

2. Parametric Linear VaR models (continued)

8 Março 2024, 16:00 • António Manuel Barbosa

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- Project support

3. Historical Simulation

8 Março 2024, 14:30 • António Manuel Barbosa

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- Standard historical VaR: definition, choice of sample size and data frequency, scaling historical VaR assuming stable distributions

2. Parametric Linear VaR models (continued)

7 Março 2024, 13:00 • António Manuel Barbosa

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- Non-Normal Linear VaR: skewed generalized student t