FRE-GY6711: Quantitative Portfolio Management Module 5 - Measuring and Managing Risk (Presentation Slides)

69 Pages Posted: 20 Jul 2017

See all articles by Thomas K. Philips

Thomas K. Philips

NYU Tandon School of Engineering - Department of Finance and Risk Engineering

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

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

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