Market risk
Value at risk, expected shortfall, historical simulation, backtests, stress tests and model risk.
12 planned
No page in this subject is open yet. The planned list below shows what is coming, in learning order.
Planned
In learning order. These are not pages yet.
- What does value at risk leave out?Advanced undergrad
- Why expected shortfall looks beyond VaRAdvanced undergrad
- When does square-root-of-time risk scaling fail?Advanced undergrad
- How stress scenarios expose portfolio weaknessesAdvanced undergrad
- When does a risk measure reward diversification?Graduate
- Why equal correlation can hide different tail riskGraduate
- How liquidation costs turn market risk into liquidity riskAdvanced undergrad
- How Euler allocation assigns risk to positionsGraduate
- What historical simulation assumes about tomorrowAdvanced undergrad
- What VaR exceptions reveal in a backtestAdvanced undergrad
- EWMA and GARCH volatility in a VaR modelAdvanced undergrad
- What model risk remains after a good calibration?Graduate
How it connects
Builds on Probability Equities and portfolios Time series Optimization Computational statistics Statistical inference Calculus Hedging and calibration
Leads to Credit risk
Subjects marked “connection” are linked by a related idea, not by a prerequisite.