Explores coherent risk measures and the spectral approach to risk aversion, covering VaR, ES, subadditivity, convexity, and the creation of new risk measures.
Covers the fundamentals of financial risk management, including types of risk, historical developments, regulatory events, and the challenges in quantitative risk management.
Explores VaR estimation, confidence intervals, backtesting, multivariate distributions, and normality testing through QQ plots and the Jarque-Bera statistic.
