Risk Management

Categorie · CC-BY-4.0

Quantification, monitoring, and mitigation of portfolio risk — VaR, ES, drawdown, scenario analysis, stress testing, and counterparty risk.

Details

• key concepts: VaR, Expected Shortfall, stress testing, drawdown, tail risk, counterparty risk
• core questions: How is parametric VaR computed?, Why is Expected Shortfall coherent and VaR is not?, What stress scenarios should a multi-strategy fund run?
• related categories: quantitative-finance, fund-operations
• term count: 79