Probability and Statistics Seminar   RSS

22/05/2018, 11:00 — 12:00 — Room P3.10, Mathematics Building
Mirela Predescu, BNP Paribas - Risk Analytics and Modelling Team, London

Market Risk Measurement — Theory and Practice

Topics that will be covered in this talk:

  • Value-at-Risk (VaR)
  • Expected Shortfall (ES)
  • VaR/ES Measurement
  • Historical Simulation
  • Model Building Approach
  • Monte Carlo Simulation Approach
  • VaR Backtesting