Lectures related to Fundamental Review of the Trading Book

Quantitative Risk Management: VaR and ES

Covers Value at Risk (VaR) and Expected Shortfall (ES) in risk management, including backtesting and multivariate distributions.

Coherent Risk Measures: Spectral Approach

Explores coherent risk measures and the spectral approach to risk aversion, covering VaR, ES, subadditivity, convexity, and the creation of new risk measures.

Quantitative Risk Management: Risk Measures

Covers risk measures used for determining risk capital and capital adequacy.

Risk Measures: Accuracy and Multivariate Distributions

Discusses risk measure evaluation, confidence intervals, and multivariate distributions for portfolio risk assessment.

Statistical Analysis of Extremes: Risk Measures & Inference

Explores risk measures, inference techniques, and statistical analysis of extreme values.