Normal Linear VaR and ETL

27 Abril 2023, 18:30 • Rita Sousa

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VaR for general distributions at the Portfolio Level.

Deduction of Normal Linear VaR formula.

Scaling VaR.

Risk Metrics associated with Var: Benchmark VaR, Expected Tail Loss and Expected Shortfall.

Solving Examples 1, 2, 3, 4 in Excel.

Introduction to Market Risk

24 Abril 2023, 20:30 • Rita Sousa

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Introduction to Market Risk.

Definitions, Concepts, the need for Market Risk.

Risks and Types of Risks, Capital Requirements.

Measuring VaR: geral concepts and methodologies.