This course explores assessment of market risk using VaR & Stress Test Analysis. It also explains basics of distribution, especially normal distribution and computer simulations.
It covers the following topics:
• Conceptual framework for Market Risk
• Normal Distribution (mean, standard deviation, skew and kurtosis)
• VAR using Historical / Parametric / Monte Carlo Simulations
• VaR for Single & Multi Asset portfolios
• Economic Capital & VaR
Suitable for intermediate users.
