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Risk Management (Methods of measurement risk (Parametric methods…
Risk Management
Methods of measurement risk
Non-parametric methods (Historical simulation)
Parametric methods
Portfolio level
t-distribution VaR and ETL
Lognormal VaR and ETL
Extreme value distributions
Generalized extreme value (GEV) distributions
Peaks over threshold (POT) approach
Miscellaneous approaches
Stable Levy process
Ellyptical and hyperbolic approaches
Normal Mixture approach
Cornish-Fisher approximation
Normal Var and ETL
Position level
Normal variance-covariance
Ellyptical variance-covariance
Hull-White transformation to normality
Copula theory
Simulation methods