Department of Mathematics

Risk Measures

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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.



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Lecture notes

Lecture notes for the 6-May-2014


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