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Erschienen in:
2024 | OriginalPaper | Buchkapitel
Course Unit 1: Different Types of Value at Risk and Lower Partial Moments and Extreme Value Theory
verfasst von : Dietmar Ernst, Joachim Häcker
Erschienen in: Corporate Risk Management
Verlag: Springer Nature Switzerland
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Abstract
Course unit 1 Different types of Value at Risk and Lower Partial Moments and Extreme Value Theory.
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You will calculate Value at Risk, Relative Value at Risk and Conditional Value at Risk (Expected Shortfall) for discrete and continuous returns.
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You will be able to explain the advantages and disadvantages of using discrete and continuous returns in the Value at Risk calculation.
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You will be able to display the results graphically.
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You will be familiarized with the concepts of Lower Partial Moments and will be able to calcu-late and interpret them.
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You will get to know the special features of Extreme Value Theory and can differentiate these from the Value at Risk concepts and name advantages and disadvantages.
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You will be able to calculate risks using Extreme Value Theory.