This seminar provides:
- familiarization with classical and latest market risk metrics (VaR, ES, etc.);
- identification of the concept of volatility and its role in financial forecasting and risk management,
- skills development of different models of estimation of volatility and its dynamics (evolution),
- evaluation of Value at Risk and Expected Shortfalls using different methods and techniques of simulation, including and Monte Carlo simulations
- formation of programming skills in R required for effective modeling of market risk.