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Course Unit 1: Different Types of Value at Risk and Lower Partial Moments and Extreme Value Theory

In: Corporate Risk Management

Author

Listed:
  • Dietmar Ernst

    (Nürtingen-Geislingen University of Applied Science (HfWU))

  • Joachim Häcker

    (Munich University of Applied Sciences)

Abstract

Course unit 1 Different types of Value at Risk and Lower Partial Moments and Extreme Value Theory. You will calculate Value at Risk, Relative Value at Risk and Conditional Value at Risk (Expected Shortfall) for discrete and continuous returns. You will be able to explain the advantages and disadvantages of using discrete and continuous returns in the Value at Risk calculation. You will be able to display the results graphically. You will be familiarized with the concepts of Lower Partial Moments and will be able to calcu-late and interpret them. You will get to know the special features of Extreme Value Theory and can differentiate these from the Value at Risk concepts and name advantages and disadvantages. You will be able to calculate risks using Extreme Value Theory.

Suggested Citation

  • Dietmar Ernst & Joachim Häcker, 2024. "Course Unit 1: Different Types of Value at Risk and Lower Partial Moments and Extreme Value Theory," Springer Texts in Business and Economics, in: Corporate Risk Management, pages 75-118, Springer.
    • Handle: RePEc:spr:sptchp:978-3-031-53126-2_5
    DOI: 10.1007/978-3-031-53126-2_5
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