Enterprise Risk Management Slides

Risk measures [1]

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Bullet points include: A generic (mathematical) view of risk in financial firms. Value-at-Risk (VaR). Definition. Link with capital requirements. MVAR (‘Marginal’), IVaR (‘Incremental’) and risk budgeting. Other risk measures. Coherence. VaR versus TVaR (Tail VaR)

Bullet points include: A generic (mathematical) view of risk in financial firms. Value-at-Risk (VaR). Definition. Link with capital requirements. MVAR (‘Marginal’), IVaR (‘Incremental’) and risk budgeting. Other risk measures. Coherence. VaR versus TVaR (Tail VaR)

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