Aula 7 - Stress Testing

31 Maio 2021, 20:30 • Rita Sousa

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Stress Testing: Scenario Analysis, Six-Sigma Events, Stressed Covariance Matrices.

Solving Examples 18, 19, 20, 21 and 22 in Excel.

Aula 6 - Historical VaR

24 Maio 2021, 20:30 • Rita Sousa

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Historical VaR: Exponentially Weighted Returns Distribution, Returns with Volatility Adjustment, Cornish-Fisher Approximation and Expected Tail Loss in Historical VaR

Solving Examples 15, 16 and 17 in Excel.

Aula 5 - Volatilities and Correlations

17 Maio 2021, 20:30 • Rita Sousa

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Estimating Volatilities and Correlations

The Exponentially Weighted Moving Average Approach

Introduction to Historical VaR: the Equally Weighted Returns Distribution

Solving Examples 12, 13, and 14 in Excel.

Aula 4 - Disaggregation of VaR

10 Maio 2021, 20:30 • Rita Sousa

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Disaggregation of VaR: Systematica VaR, Stand-alone VaR, Marginal VaR, Incremental VaR, Specific VaR.

Solving Examples 9, 10 and 11 in Excel.

Aula 3 - Porfolio Mapping

3 Maio 2021, 20:30 • Rita Sousa

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Benchmark VaR

Portfolio Mapping: Risk Factor VaR, Systematic VaR, Stand-alone VaR

The Examples of Normal Linear Equity VaR and Normal Linear Interest Rate VaR

Solving Examples 5, 6, 7 and 8 in Excel