ECON 752 - Financial Markets and VaR (2)

This course examines the different types of risk that arise across a variety of different assets due to the characteristics of the assets and the structure of the markets they trade in.  Advanced Value at Risk models that capture the non-linear nature of certain derivatives and market structures are developed. Scenario analysis is examined as a way to evaluate "one-off" risks as well as a way to stress test VaR models and their assumptions in extreme scenarios.