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30 Abril 2021, 14:30 • Rita Sousa

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

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

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29 Abril 2021, 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

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23 Abril 2021, 14:30 • Rita Sousa

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- Introduction and random number generation

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22 Abril 2021, 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
- Backtesting: exceedance rates, unconditional and conditional coverage tests, independence tests, BCP tests, distribution forecasts

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16 Abril 2021, 14:30 • 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