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Statistical Foundations of VaR

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Course Syllabus

01

Understanding Normal Distribution

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02

Statistical Foundations: Mean and Standard Deviation

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03

Statistical Foundations: Understanding Correlations

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04

Statistical Foundations: Predicting Volatility

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05

Parametric VaR Estimation

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06

Risk of a Single Cash Position

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07

Risk of Two Cash Positions

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08

Time Scaling of Volatility

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What's Included:

eBook in PDF format
All code files used in the book
All data files used in the book
All related book resources

Topics Covered

Risk Management
Statistical Methods