SVI 401 · Tier 400 — Graduate — Specialization & Capstone · 3 credits
Risk Management
Value-at-Risk, Expected Shortfall, Extreme Value Theory and stress testing — measuring what the worst days cost.
Prerequisites
Learning Objectives
- Define Value-at-Risk as a quantile of the loss distribution at a stated confidence level and horizon.
- Define Expected Shortfall as the conditional mean of losses beyond the VaR threshold, and explain why it answers a question that VaR cannot.
- Explain why the body of a return distribution cannot tell you about its tail, and why ordinary sample quantiles fail at extreme probabilities.
- Distinguish a stress test from a VaR estimate, and explain why a single conditioning shift is honest where a tail percentile is not.