Wrap-up

Quantitative Risk Management in R

Alexander McNeil

Professor, University of York

Not the end of the story...

Consider two things:

  1. Can we improve risk sensitivity of VaR and ES estimates?
    • Filtered historical simulation
    • GARCH models
    • EWMA volatility filters
  2. Can we improve simple empirical estimates of VaR and ES?
    • Parametric tail models, heavy-tailed distributions, extreme value theory
Quantitative Risk Management in R

Thanks for taking the course!

Quantitative Risk Management in R

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