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This presentation is based on a part of an academic course on Enterprise Risk Management (ERM) titled ‘Risk measures’ and covers topics such as: a generic (mathematical) view of risk in financial firms, Value-at-Risk (VaR) (including definition, link with capital requirements, MVaR (‘Marginal VaR’), IVaR (‘Incremental VaR’) and risk budgeting), other risk measures, coherence and merits of VaR versus TVaR (Tail VaR) / Expected Shortfall (ES)

Slides

1	Session 2: Risk measures
2	Session 2: Risk measures
3	A generic (mathematical) view of risk in financial firms
4	Loss definition
5	Equity-land versus bond-land
6	Session 3: Risk measures
7	Value-at-Risk
8	VaR versus Tail VaR (TVaR)
9	Mathematical definitions of VaR and TVaR
10	VaR estimation
11	Session 2: Risk measures
12	VaR closely linked to capital requirements
13	VaR and expected/unexpected loss
14	Session 3: Risk measures
15	Marginal VaR (MVaR)
16	The Gaussian Case
17	Incremental VaR (IVaR)
18	Risk budgeting
19	Session 2: Risk measures
20	Other risk measures
21	Allowing for diversification
22	VaR homogeneity
23	Session 3: Risk measures
24	Axiomatic approach
25	Characterisation of coherent risk measures
26	VaR is coherent for Gaussian distributions
27	Advantages/Disadvantages of VaR
28	Session 2: Risk measures
29	VaR versus TVaR
30	Arguments based on coherence
31	What are the underlying mindsets?
32	Which takes into account loss in the event of default?
33	Different stakeholder perspectives (1)
34	Different stakeholder perspectives (2)
35	Treatment of illiquidity (1)
36	Treatment of illiquidity (2)
37	Treatment of illiquidity (3)
38	Stress testing methodologies
39	Important Information

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