Instructional Video: Measures of Financial Risk

Dowd, Chapter 2 is a 45-minute instructional video analyzing the following concepts:

* Describe the mean-variance framework and the efficient frontier.
* Explain the limitations of the mean-variance framework with respect to assumptions about the return distributions.
* Define the Value-at-risk (VaR) measure of risk, discuss assumptions about return distributions and holding period,
and explain the limitations of VaR.
* Define the properties of a coherent risk measure and explain the meaning of each property.
* Explain why VaR is not a coherent risk measure.
* Explain and calculate expected shortfall (ES) and compare and contrast VaR and ES.
* Describe spectral risk measures and explain how VaR and ES are special cases of spectral risk measures.
* Describe how the results of scenario analysis can be interpreted as coherent risk measures.

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