← Back to portfolio
Value at Risk
Market Risk · 5 Assignments · PDF
01
Assignment 1
Normal linear VaR · PCA · Normal mixture · Student-t
→
02
Assignment 2
Historical simulation · GARCH · Filtered HS · Risk decomposition
→
03
Assignment 3
Monte Carlo · A-GARCH · Cholesky · Normal mixture (R & C++)
→
04
Assignment 4
Options portfolio · Delta-gamma-vega · Greeks approximations
→
05
Assignment 5
Model risk · Backtesting · Independence & coverage tests
→