|
Objectives
To understand and to interpret the principles of value-at-risk and the role of the underlying statistical assumptions about the practical value of this risk measure. To develop understanding whether VaR is sufficient for business needs or whether more complex measures, such as expected shortfall, will be required to meet the safety requirements of the business
Target Attendees / Participants
Students of Steinbeis Master of Business Administration
Course Content by Units
Origin of Value at Risk
Correlation and Covariance matrices
Goodness of fit tests
Interpretation and limitations of VaR
Expected shortfall
Teaching Methods
Classic lecturing
Free and interactive class discussion
Literature
Alexander Carol (2009): Market Risk Analysis, Value at Risk Models (Volume IV), Wiley.
Benninga (2007): Principles of Finance with Excel, MIT Press.
Dempster M. A. H. (2002): Risk Management: Value at Risk and Beyond, Cambridge University Press.
Jorion Philippe (2006): Value at Risk, 3rd Ed.: The New Benchmark for Managing Financial Risk, McGraw-Hill.
|