6. Risk model risk

16 Abril 2026, 13:00 • António Manuel Barbosa

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

5. Quantile Regression VaR Estimation

27 Março 2026, 14:30 • António Manuel Barbosa

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

3. Historical Simulation (continued)

26 Março 2026, 13:00 • António Manuel Barbosa

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- Scaling of Historical VaR: filtered historical simulation and stable distribution assumption

3. Historical Simulation (continued)

20 Março 2026, 14:30 • António Manuel Barbosa

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

3. Historical Simulation (continued)

19 Março 2026, 13:00 • António Manuel Barbosa

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