Tier 4 · QuantFree
Risk Management and VaR
Tail Risk
10 modules~71 min totalVerifiable certificate on completion
Syllabus
01Value at Risk — Parametric and HistoricalMath
8 min02Expected Shortfall and Coherent Risk MeasuresMath
8 min03Copulas and Tail DependenceMath
8 min04Extreme Value TheoryMath
8 min05Monte Carlo Simulation for RiskMath
8 min06VaR and Coherent Risk
6 min07Expected Shortfall
6 min08Stress Testing
7 min09Copulas and Tail Dependence
6 min10Black Swans and Convexity
6 minFrom Module 1 — read a sample
Value at Risk = the loss level you'd only exceed on the worst X% of days. A 1-day 95% VaR of $1M means: on 19 out of 20 days, losses stay below $1M. But the 20th day? VaR says nothing about how bad it gets.
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