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28 Abril 2023, 14:30 • Rita Sousa

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

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27 Abril 2023, 13:00 • Rita Sousa

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

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21 Abril 2023, 14:30 • Rita Sousa

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- Modeling risk factor dependence: multivariate normal and skewed generalized student t

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20 Abril 2023, 13:00 • Rita Sousa

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- 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

Risk Model Risk (continued)

31 Março 2023, 14:30 • Rita Sousa

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