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1. Introduction
2. Are risk models breaking down?
3. Does it matter?
4. Why were there so many exceptions in 3Q'07?
5. Volatility is changing over time
6. S&P500 daily returns
7. Volatility clusters
8. Forecasting volatility or variance
9. Conditional volatility
10. More on GARCH
11. Asymmetric volatility?
12. An example model for S&P500 risk
13. Conditional volatility responds swiftly to shocks
14. Calculating VaR from conditional volatility
15. Historical simulation vs. conditional VaR
16. Is the experience of July '07 typical?
17. Backtesting procedure
18. Backtesting results (1)
19. Backtesting results (2)
20. Can GARCH be used with simulation methods?
21. Volatility-weighted historical simulation
22. Implication of volatility-weighted simulation
23. Monte Carlo simulation (1)
24. Monte Carlo simulation (2)
25. Capital requirements?
26. Where to look for more information?
27. Conclusion

Topics Covered

• What can we learn from problems with VaR models?
• Common patterns in volatility (the clustering effect)
• Forecasting volatility using GARCH
• Implications for VaR, stress testing and capital requirements

Links

Series:

• Quantitative Financial Risk Management

Categories:

• Finance, Accounting & Economics

Talk Citation

Publication History

• Published on May 1, 2008
• Archived on April 4, 2022