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Financial Engineering Course: Lecture 13/14, part 2/2, (Value-at-Risk and Expected Shortfall)

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https://www.youtube.com/watch?v=jaR3n--J5HE
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Financial Engineering: Interest Rates and xVA Lecture 13- part 2/2, Value-at-Risk and Expected Shortfall ▬▬▬▬▬▬▬▬▬▬▬▬▬▬▬▬▬▬▬▬▬▬▬▬▬▬▬▬▬▬▬▬▬▬▬▬▬▬▬ This course is based on the book: "Mathematical Modeling and Computation in Finance: With Exercises and Python and MATLAB Computer Codes", by C.W. Oosterlee and L.A. Grzelak, World Scientific Publishing, 2019. ▬▬▬▬▬▬▬▬▬▬▬▬▬▬▬▬▬▬▬▬▬▬▬▬▬▬▬▬▬▬▬▬▬▬▬▬▬▬▬ - Codes and the slides can be found at: https://github.com/LechGrzelak/FinancialEngineering_IR_xVA - See https://quantfinancebook.com/ for more details and for additional materials. - Course syllabus can be found at: https://CompFinance.ddns.net/wordpress/free-courses/ ▬▬▬▬▬▬▬▬▬▬▬▬▬▬▬▬▬▬▬▬▬▬▬▬▬▬▬▬▬▬▬▬▬▬▬▬▬▬▬ 0:00 Introduction 2:23 Historical Value-at-Risk (HVar) and Python Experiment 33:22 Missing Data, Arbitrage and Re-Gridding 43:28 VaR Computation with Monte Carlo 55:41 Backtesting 1:04:00 Summary of the Lecture + Homework ▬▬▬▬▬▬▬▬▬▬▬▬▬▬▬▬▬▬▬▬▬▬▬▬▬▬▬▬▬▬▬▬▬▬▬▬▬▬▬ CONTENT OF THIS COURSE: Lecture 1- Introduction and Overview of the Course Lecture 2- Understanding of Filtrations and Measures Lecture 3- The HJM Framework Lecture 4- Yield Curve Dynamics under Short Rate Lecture 5- Interest Rate Products Lecture 6- Construction of Yield Curve and Multi-Curves Lecture 7- Pricing of Swaptions and Negative Interest Rates Lecture 8- Mortgages and Prepayments Lecture 9- Hybrid Models and Stochastic Interest Rates Lecture 10- Foreign Exchange (FX) and Inflation Lecture 11- Market Models, Convexity
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5
Name
Computations in Finance
Date
2022/04/28
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