Instructional Video: Dowd, Chapter 3: Estimating Market Risk Measures

Dowd, Chapter 3: Estimating Market Risk Measures is a 42-minute instructional video analyzing the following concepts:

* Estimate VaR using a historical simulation approach.
* Estimate VaR using a parametric approach for both normal and lognormal return distributions.
* Estimate the expected shortfall given P/L or return data.
* Define coherent risk measures.
* Estimate risk measures by estimating quantiles.
* Evaluate estimators of risk measures by estimating their standard errors.
* Interpret QQ plots to identify the characteristics of a distribution.

Shop Courses