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1. Introduction
2. Outline
3. Background and motivation (1)
4. Background and motivation (2)
5. Summary and conclusions (1)
6. Summary and conclusions (2)
7. Review of the literature
8. Value at Risk
9. The method of copulas (1)
10. The method of copulas (2)
11. The method of copulas (3)
12. Data description
13. Call report variables
14. Call report and CRSP
15. Loss distributions
16. Time series
17. 5 risk types
18. Dependogram of multivariate tests
19. 99.97th percentile dollar VaR
20. 99.97th percentile VaR and BVA
21. 99.97th percentile VaR diversification benefit
22. Copula goodness of fit (GOF)
23. Discussion of VaR, diversification benefit & GOF
24. Bootstrap of correlations (1)
25. Bootstrap of margins (1)
26. Bootstrap of correlations (2)
27. Bootstrap of margins (2)
28. Discussion
29. Summary (1)
30. Summary (2)

Topics Covered

• Value at Risk
• The method of copulas
• Data description
• Call report variables
• Call report and CRSP
• Loss distributions
• Time series
• 5 risk types
• Dependogram of multivariate tests
• Diversification benefit
• Copula goodness of fit (GOF)
• Bootstrap of margins & correlations

Links

Series:

• Risk Management for Sovereign Institutions

Categories:

• Finance, Accounting & Economics

Talk Citation

Publication History

• Published on March 15, 2012