Course title: Market risk measures (Mesures de risque de marché) Teacher: N. Frikha
UE 2
18 hours (2.5 ECTS)
Evaluation:
Presentation:
The objective of this course is to discuss how to measure the risks associated to assets which com- pose, for instance, a portfolio. We will present different approaches used in investment banks and asset management with both a regulatory and a business viewpoint.
The notions tackled in this courses are:
• Distributions and moments (variance, skewness, kurtosis) • Value at Risk
• Expected Shortfall
• Coherent risk measures
• Measures of dependence • Copulas
UE 2
18 hours (2.5 ECTS)
Evaluation:
Presentation:
The objective of this course is to discuss how to measure the risks associated to assets which com- pose, for instance, a portfolio. We will present different approaches used in investment banks and asset management with both a regulatory and a business viewpoint.
The notions tackled in this courses are:
• Distributions and moments (variance, skewness, kurtosis) • Value at Risk
• Expected Shortfall
• Coherent risk measures
• Measures of dependence • Copulas
