Sumários

15 Maio 2023, 20:30 • Rita Sousa

Introduction to Stress Testing VaR.

Historiacl Single Case Scenario, Hypothetical Distribution Scenario, Stress Test based on Worst Case Loss, Six-Sigma Stress Test.

VaR based on Stressed Covariance Matrices: Stressed Historiacl Covariance Matrix.

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

11 Maio 2023, 18:30 • Rita Sousa

Historical VaR from Exponentially Weighted Returns Distribution approach.

Historical VaR with Volatility Adjustment.

Precision of VaR at Extreme Quantiles: the Cornish-Fisher Expansion to VaR and ETL.

Solving Examples 14, 15, 16, 17 in Excel.

8 Maio 2023, 20:30 • Rita Sousa

EWMA modelling for Volatilities and Correlations.

Historical VaR: definition, approaches, computation.

Historical VaR with Equally weighted returns distribution.

Solving Examples 12, 13 in Excel.

4 Maio 2023, 18:30 • Rita Sousa

Marginal and Incremental VaR: definition and computation for Normal Linear VaR.

Measuring Specific VaR: examples.

Solving Examples 9, 10, 11 in Excel.

2 Maio 2023, 20:30 • Rita Sousa

The mappibng approach and the Risk Factor VaR.

Examples: Equity VaR, Interest Rate VaR, Forex VaR,

Dealing with dependencies.

Systematic Normal Linear VaR, Specific Linear VaR and Stand Alone VaR.

Solving Examples 5, 6, 7, 8 in Excel.