|
Professor |
Dr. Valeria Bignozzi |
Time |
Tuesday 10:00-12:00 |
Risk measures are important tools for managing and quantifying financial and insurance risks. The aim of the course is to present an overview of different kind of risk measures available in the academic literature or currently used in practice emphasizing their properties and drawbacks. Students will then be familiar with VaR, Expected shortfall, coherent and convex risk measures but also with the more recent expectiles. The last part of the course will discuss practical issues arising from estimating and backtesting risk measures.
For further reading we recommend:
Wichtiger Hinweis:
Diese Website wird in älteren Versionen von Netscape ohne
graphische Elemente dargestellt. Die Funktionalität der
Website ist aber trotzdem gewährleistet. Wenn Sie diese
Website regelmässig benutzen, empfehlen wir Ihnen, auf
Ihrem Computer einen aktuellen Browser zu installieren. Weitere
Informationen finden Sie auf
folgender
Seite.
Important Note:
The content in this site is accessible to any browser or
Internet device, however, some graphics will display correctly
only in the newer versions of Netscape. To get the most out of
our site we suggest you upgrade to a newer browser.
More
information