Market RIsk Measurement and Management

16 Março 2026, 13:30 • MARIA KOSOLAPOVA

Probability integral transform and Implied volatility curves

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Market Risk Measurement and Management

16 Março 2026, 09:00 • MARIA KOSOLAPOVA

Probability integral transform and Implied volatility curves

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Market RIsk Measurement and Management

9 Março 2026, 13:30 • MARIA KOSOLAPOVA

Exercises: POT VaR and ES, SE and CI of VaR under normal assumption, SE and CI of VaR via bootstrapping,  z-test, conditional coverage test and unconditional coverage test

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Market Risk Measurement and Management

9 Março 2026, 09:00 • MARIA KOSOLAPOVA

Exercises: POT VarR and ES, SE and CI of VaR under normal assumption, SE and CI of VaR via bootstrapping,  z-test, conditional coverage test and uncondtiional coverage test

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Market risk measurement and management

2 Março 2026, 13:30 • MARIA KOSOLAPOVA

EVT: POT and GPD

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