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30 Março 2023, 13:00 • Rita Sousa

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- Sources of risk model risk: risk factor mapping, risk factor returns model, VaR resolution model, scaling
- Estimation risk: confidence intervals for VaR in parametric linear models

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24 Março 2023, 14:30 • Rita Sousa

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- Introduction to quantile regressions
- Estimation of VaR by quantile regression

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23 Março 2023, 13:00 • Rita Sousa

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

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17 Março 2023, 14:30 • Rita Sousa

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

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16 Março 2023, 13:00 • Rita Sousa

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