Description

These set of notes cover the following topics: 1. Introduction 2. Value at Risk 3. Volatility 4. Correlations and Copulas 5. Regulation and the Basel Accord 6. Market Risk VaR: Historical Simulation Approach 7. Market Risk VaR: Model Building Approach 8. Credit Risk: Estimating Default Probabilities and VaR 9. Operational Risk, Liquidity Risk and Model Risk


USYD

Semester 2, 2021


50 pages

15,364 words

$34.00

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