09.Sept - Full day session

Downside Risk measures

1. Value-at-Risk and Expected short-fall estimation

    a. Parametric measures
    b. RiskMetrics
    c. Historical simulation
    d. Filtered historical simulation

2. Backtesting

    a. Unconditional coverage
    b. Conditional coverage
    c. Other approaches

The course assumes that participants are comfortable with the R software, and with time series econometrics, in particular the GARCH family models. At the end of the course there will be time to talk to participants about their research problems and model implementation problems.




Assistant Professor | Economics Department
School of Economics and Management
Minho University

Find out more…


Christoffersen, P. (2011) “Elements of Financial Risk Management”, Academic Press, 2nd Ed., pp. 334. ISBN: 978-0-12-374448-7.