Sumários
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25 Fevereiro 2021, 13:00 • Rita Sousa
- Portfolio mapping: risk factors and risk factor sensitivities and cash-flow mapping
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12 Fevereiro 2021, 14:30 • Rita Sousa
- Normal Linear VaR for stock portfolios: Systematic and Specific VaR, estimation of Specific VaR, Systematic VaR decomposition
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11 Fevereiro 2021, 13:00 • Rita Sousa
- 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
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5 Fevereiro 2021, 14:30 • Rita Sousa
- 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