2. Parametric Linear VaR models (continued)

22 Fevereiro 2024, 13:00 • António Manuel Barbosa

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- Normal Linear VaR for stock portfolios: Systematic and Specific VaR, estimation of Specific VaR, Systematic VaR decomposition

2. Parametric Linear VaR models (continued)

9 Fevereiro 2024, 14:30 • António Manuel Barbosa

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- Normal Linear VaR for stock portfolios: Systematic and Specific VaR, estimation of Specific VaR, Systematic VaR decomposition

2. Parametric Linear VaR models

8 Fevereiro 2024, 13:00 • António Manuel Barbosa

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- Foundations of Normal Linear VaR: Normal Linear VaR formula, Static vs. Dynamic VaR, scaling for different risk horizons, adjusting for autocorrelation, Stand-alone, Marginal and Incremental VaR

1. Introduction to Value at Risk (VaR) (continued)

2 Fevereiro 2024, 16:00 • António Manuel Barbosa

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- Total vs. Risk Factor VaR
- Decomposition: Systematic and Specific VaR, Stand-alone VaR, Marginal and Incremental VaR
- Associated risk metrics and coherence
- Introduction to VaR models: Normal Linear VaR, Historical Simulation and Monte Carlo Simulation

1. Introduction to Value at Risk (VaR) (continued)

2 Fevereiro 2024, 14:30 • António Manuel Barbosa

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- Total vs. Risk Factor VaR
- Decomposition: Systematic and Specific VaR, Stand-alone VaR, Marginal and Incremental VaR
- Associated risk metrics and coherence
- Introduction to VaR models: Normal Linear VaR, Historical Simulation and Monte Carlo Simulation