Aula 2 - VaR at the Portfolio Level

26 Abril 2021, 20:30 • Rita Sousa

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VaR for General Distributions at Portfolio Level

Normal Linear VaR Formulas: Normal VaR, Scaling VaR, Expected Tail Loss

Solving Examples 1, 2, 3 and 4 in Excel

Aula 1 - Introduction to Market Risk

22 Abril 2021, 20:30 • Rita Sousa

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Introduction to Market Risk.

Capital Requirements.

Measuring VaR: VaR (general definition, decomposition of VaR, risk metrics associated to Var).