FN3142 Chapter 13. Risk management and Value-at-Risk: Models
Chapter 13 is divided into 5 parts. For each part, there is a video with the supporting pdf file. Both have been created in Notability using an iPad. All files are here.
Part 1. Distribution function with two examples and generalized inverse function.
Part 2. Value-at-Risk definition
Part 3. Empirical distribution function and its estimation
Part 4. Models based on flexible distributions
Part 5. Semiparametric models, nonparametric estimation of densities and historical simulation.
Besides, in the subchapter named Expected shortfall you can find additional information. It is not in the guide but it was required by one of the past UoL exams.
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