UP1-PROG-27-MIX502-123 - Master 2 Ind. Ingénierie du risque : finance et assurance;UP1-PROG-27-MIX501-119 - M2 Ind Modélisation et Méthodes Math. en Economie et Finance

The objective of this course is to discuss how to measure the risks associated to assets which compose, for instance, a portfolio. We will present different approaches used in investment banks and asset management with both a theoretical and a computational viewpoint.
The notions tackled in this course are:
• Markowitz optimization problem
• Value-at-Risk and Expected Shortfall
• Coherent risk measures

Informations sur l'espace de cours

Nom	Archive année 2023-2024 Master 2 Ind. Ingénierie du risque : finance et assurance - Market Risk Measures
Nom abrégé	UP1-PROG-ETP-MIX502-123-02 - Market Risk Measures
Groupes utilisateurs inscrits	Consultation des ressources, participation aux activités : aucune cohorte inscrite. Consultation des ressources uniquement : aucune cohorte inscrite.