David Lynch et al, Validation of Risk Management Models for Financial Institutions instructional video reviews the following key concepts:
Chapter 2: Validating Bank Holding Companies’ Value-at-Risk Models for Market Risk
Assessing the Conceptual Soundness of a VaR Model
Conducting Sensitivity Analysis for VaR Models
Challenges in Calculating Confidence Intervals for VaR
Challenges in Benchmarking VaR Models
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