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Printable Handouts
Navigable Slide Index
- Introduction
- Key Points
- What is financial risk?
- Formula for pdf
- Graph of standard normal pdf
- Interpretation of normal pdf
- Attractions of normality
- Moments of pdf
- Skewness defined
- Graph of skewed distribution
- Kurtosis defined
- Illustration of Kurtosis
- Standard deviation as a risk measure
- Value at Risk (VaR) - defined
- First Illustration of VaR
- Second illustration of VaR
- VaR and confidence level
- VaR and holding period
- VaR surface
- How to choose a confidence level
- How to choose a holding period
- Limitations of VaR
- VaR is uninformative of tail losses
- VaR creates perverse incentives
- VaR can discourage diversification
- Subadditivity and VaR
- VaR is not subadditive
- Example of VaR non subadditivity
- Coherent risk measures
- Coherence properties
- Expected Shortfall (ES)
- ES and VaR compared
- Why ES is better than VaR
- Worst-case scenario analysis
- Conclusions
- References
Topics Covered
- Nature of financial risk
- Representing financial risk using a density function
- VaR as a risk measure
- Expected shortfall
- Coherent risk measures
- Worst-case scenario analyses
Talk Citation
Dowd, K. (2007, October 1). Measures of financial risk [Video file]. In The Business & Management Collection, Henry Stewart Talks. Retrieved November 14, 2024, from https://doi.org/10.69645/VZME4316.Export Citation (RIS)