coherent-risk-measures

Learning objectives: Define the VaR measure of risk, describe assumptions about return distributions and holding periods, and explain the limitations of VaR. Explain and calculate ES and compare and contrast VaR and ES. Define the properties of a coherent risk measure and explain the meaning of...

Learning objectives: Describe coherent risk measures. Estimate risk measures by estimating quantiles. Evaluate estimators of risk measures by estimating their standard errors. Interpret quantile-quantile (QQ) plots to Identify the characteristics of a distribution. Questions: 22.1. Peter fit...

Coherence requires that a risk measure meets all four of the following conditions unconditionally: 1. Translation invariance (aka, adding cash reduces risk), 2. Positive homogeneity (aka, risk is proportional to size"), 3. Monotonicity (aka, If Y dominates X, then Y is less risky than X), and 4...

Learning objectives: 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...

Learning objectives: Define the properties of a coherent risk measure and explain the meaning of each property. Explain why VaR is not a coherent risk measure. Questions: 809.1. A credit portfolio contains five identical bonds. Each bond has a face value of $1,000 and default probability of 80...

Learning objectives: Apply the bootstrap historical simulation approach to estimate coherent risk measures. Describe historical simulation using non-parametric density estimation. Questions: 710.1. Betty is trying to decide between basic historical simulation (HS) and bootstrap historic...

Learning objectives: 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. Questions: 709.1. Sally is a Risk Analyst who...