Sumários

8. Capital allocation

24 Abril 2026, 16:00 • António Manuel Barbosa

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

4. Monte Carlo VaR (continued)

24 Abril 2026, 14:30 • António Manuel Barbosa

- Modeling dynamic properties in risk factor returns: multi-step vs. one-step Monte Carlo VaR, volatility clustering and mean reversion

4. Monte Carlo VaR

23 Abril 2026, 13:00 • António Manuel Barbosa

- Introduction and random number generation
- Modeling risk factor dependence: multivariate normal, multivariate normal mixture

6. Risk model risk

17 Abril 2026, 14:30 • António Manuel Barbosa

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

6. Risk model risk

16 Abril 2026, 13:00 • António Manuel Barbosa

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