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Objectives
Participants are expected to:
-Know how to run the value-at-risk model and the conditional value at-risk model
-Interpret the results appropriately
Applications refer to asset portfolios, medium and large sized companies, and national economies, respectively.
Target Attendees / Participants
University students of Steinbeis European Master Program in Risk Engineering and Management, and similar programs.
Course Content by Units
Collecting and organizing the ‘right’ data
Performance of goodness-of-fit tests
Computation of the risk measures for different confidence levels and time horizons, respectively
Discussion and interpretation
Teaching Methods
Guided application of learned concepts through state-of-art tools.
Case study.
Literature
-Aswath Damodaran (2007). Strategic Risk Taking: A Framework for Risk Management, Pearson Prentice Hall
-P. Best (1999). Implementing Value at Risk (Wiley Series in Financial Engineering), Wiley
-Carol Alexander (2009). Market Risk Analysis, Value at Risk Models (Volume IV), Wiley
-Gunter Loeffler, Peter N. Posch (2007). Credit Risk Modeling using Excel and VBA (The Wiley Finance Series)
-Marco Corazza, Pizzi Claudio (2010). Mathematical and Statistical Methods for Actuarial Sciences and Finance, Springer
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