Sumários

Historical VaR

18 Junho 2025, 18:30 • Gracinda Guerreiro

Historical VaR


VaR with Exponentially Weighted Returns. 

The impact of Adjusted Volatility Returns in VaR.

Solving examples in Excel.

Historical VaR

16 Junho 2025, 20:30 • Gracinda Guerreiro

Introduction to Historica VaR


Historical VaR for Equally Weighted Returns

Historical ETL: emprical and Cornish-Fisher expansion aproaches

Solving examples in Excel

Estimating Volatilities and Correlations

2 Junho 2025, 20:30 • Gracinda Guerreiro

Estimating Volatitilies and Correlations: The Exponentially Weighted Moving Average approach.


Solving Examples on Excel.

Stand Alone VaR, Marginal VaR and Specific VaR.

26 Maio 2025, 20:30 • Gracinda Guerreiro

Stand Alone VaR, Marginal VaR and Specific VaR.


Definitions, Interpretation, and calculations.

Solving Examples on Excel.

Risk Factor VaR

22 Maio 2025, 18:30 • Gracinda Guerreiro

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


Risk Factor Var: mapping and computing VaR. The examples of Equity VaR, Interest Rate VaR, Forex VaR.

Solving Examples on Excel.