Sumários
Market risk measurement and management
2 Março 2026, 13:30 • Maria Kosolapova
EVT: POT and GPD
Backtesting VaR: z Test, unconditional coverage test, conditional coverage test
SE and CI for VaR
Market risk measurement and management
2 Março 2026, 09:00 • Maria Kosolapova
EVT: POT and GPD
Backtesting VaR: z Test, unconditional coverage test, conditional coverage test
SE and CI for VaR
Market Risk Measurement and Management
23 Fevereiro 2026, 13:30 • Maria Kosolapova
Quiz
Exercises: Monte Carlo KDE, Bootstrapping, FHS
Extreme Value Theory
Market Risk Management and Measurement
23 Fevereiro 2026, 09:00 • Maria Kosolapova
Quiz
Exercises: Monte Carlo KDE, Bootstrapping, FHS
Extreme Value Theory
Market Risk Management and Management
18 Fevereiro 2026, 13:30 • Maria Kosolapova
Exercises: HS VaR and ES, parametric (normal) VarR and ES, delta-normal VaR and ES and EWMA volatility
Nonparametric approaches to Market Risk: KDE, Bootstrapping, FHS