Collection of important documents for risk management

Here is the MS Stuff spreadsheet many have asked about. I usually go through this in my classes. Please do not ask me to annotate it or provide additional details.

THANK YOU!
The world needs more Professors like you.
Best wishes, from Brazil.
-SR
 

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Professsor can you please tell me what add in was used to calculate the Eigenvalues and Eigenvectors for the covariance matric. I can't seem to replicate the steps on my excel spreadsheet
 
@Ken Abbott
Any new reading on VaR being phased out and replaced by Expected Shortfall (ES)?
When will MFE programs update their curriculum to focus less on VaR?
The approach is basically the same. The tricky part is the way the BIS wants it reported. In addition to the ES using a full datatset, you must also do en ES with a limited dataset, and a "worst case" ES, historically. In addition, there are somewhat complex liquidity adjustments to be made. I expect to see a lot from Big 4 and other consulting firms on actual implementation.
 
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