Download This PaperFRE-GY6711: Quantitative Portfolio Management Module 5 - Measuring and Managing Risk (Presentation Slides)
69 Pages Posted: 20 Jul 2017
Date Written: July 17, 2017
Abstract
Lecture notes for Quantitative Portfolio Management Module 5 - Measuring and Managing Risk
Keywords: Risk Management, Tail Risk, Value at Risk, Expected Shortfall, Coherent Measures of Risk, Credit Risk, Credit Limits, Robust Estimators, Adaptive Estimators, Variance, Correlation, OLS, Regression, Theil-Sen
JEL Classification: G10, G11, G15, G20
Suggested Citation: Suggested Citation
Philips, Thomas K., FRE-GY6711: Quantitative Portfolio Management Module 5 - Measuring and Managing Risk (Presentation Slides) (July 17, 2017). Available at SSRN: https://ssrn.com/abstract=3004111 or http://dx.doi.org/10.2139/ssrn.3004111
Thomas K. Philips (Contact Author)
NYU Tandon School of Engineering - Department of Finance and Risk Engineering ( email )
Brooklyn, NY 11201
United States
Here is the Coronavirus
related research on SSRN
Feedback
Feedback to SSRN
If you need immediate assistance, call 877-SSRNHelp (877 777 6435) in the United States, or +1 212 448 2500 outside of the United States, 8:30AM to 6:00PM U.S. Eastern, Monday - Friday.
