Value at Risk (VaR)
With Ben Sopranzetti, Ph.D., Rutgers University
- What is value at risk?
- Variance-Covariance method, historical simulation, or Monte Carlo simulation?
- Limitations of VaR
- Extensions of VaR
- Value at Risk or Expected Shortfall: Which, When, and Why?
- What is Value at Risk and why can it lead to dangerously risky trading positions?
- What is tail risk and how can Expected Shortfall help to better protect against it?
November 18, 2014 – FIVE YEARS AFTER THE CRISIS, WHAT ARE WE DOING DIFFERENT FROM A RISK PERSPECTIVE?
Bernd Fischer, Ph.D. – IDS
November 19, 2014 – TBA
November 20, 2014 – RISK ATTRIBUTION
John D. Simpson, CIPM – TSG
November 21, 2014 – WHAT WE KNOW AND DON’T KNOW ABOUT RISK
John M. Longo, Ph.D., CFA – Rutgers University/ The MDE Group
- The nature and history of risk
- Risk drivers
- Common risk metrics, their strengths and weaknesses
- Navigating Black Swan Risks