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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