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Measuring Sensitivity for VaR and ES
uploaded May 11, 2023
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CPD
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Description:
In this session Silvana will propose a sensitivity measure for Value-at-Risk (VaR) and Expected Shortfall (ES) which will quantify the information a risk factor contains for modelling VaR or ES of a portfolio loss. As a participant, you will be able to join Silvana in using a flexible sensitivity analysis framework, called Scenario Weights for Importance Measurement (SWIM) which is a freely available R package designed by Silvana. In this segment, participants get to illustrate the scope of stressing VaR and ES via the SWIM ShinyApp.
Categories:
AFIR / ERM / RISK
Content groups:
content2023
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