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Learn · Advanced Algorithmic Trading and Portfolio Management

Lecture 28 of 28Week 8

Lesson 28: Tail Risk Measurement: VaR and CVaR (or ES) models

Prof. Abhinava Tripathi · IIT Kanpur

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From
Advanced Algorithmic Trading and Portfolio Management, IIT Kanpur (at NPTEL)
Licence
CC BY-NC-SA, as NPTEL states it. Non-commercial use only.
Attribution
NPTEL states: "Distributed under Creative Commons Attribution-ShareAlike / CC BY - NC - SA", beside a BY-NC-SA badge.
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All the lectures

  1. Lesson 1: Fundamentals of R YouTube
  2. Lesson 2: Data Cleaning YouTube
  3. Lesson 3 : Data Visualization YouTube
  4. Lesson 4: Introduction to Risk and Return YouTube
  5. Lesson 5: Portfolio Theory and Asset Pricing Models YouTube
  6. Lesson 6: Portfolio Optimization and Mean Variance Framework YouTube
  7. Lesson 7: Advanced Portfolio Optimization: Part 1 YouTube
  8. Lesson 8: Advanced Portfolio Optimization: Part 2 YouTube
  9. Lesson 9: Capital Asset Pricing Model (CAPM) YouTube
  10. Lesson 10: Single and Multi-Index Models YouTube
  11. Lesson 11: Introduction to Arbitrage Pricing Theory (APT) YouTube
  12. Lesson 12: Portfolio Management Strategies YouTube
  13. Lesson 13: Portfolio Performance Evaluation- One Parameter Measures YouTube
  14. Lesson 14: Portfolio Performance Evaluation: Timing and Selection YouTube
  15. Lesson 15: Introduction to tail-risk measures: VaR and CVaR YouTube
  16. Lesson 16: Initiating with Portfolio Object in R YouTube
  17. Lesson 17: Trend-determining techniques YouTube
  18. Lesson 18: Moving average indicators YouTube
  19. Lesson 19: Momentum indicators YouTube
  20. Lesson 20: R Application for Technical Analysis and Algorithmic Trading - Part 1 YouTube
  21. Lesson 21: R Application for Technical Analysis and Algorithmic Trading - Part 2 YouTube
  22. Lesson 22: Introduction to Panel Data Modelling YouTube
  23. Lesson 23: Panel data application and implementation with R YouTube
  24. Lesson 24: Techniques for Computing Efficient Frontier YouTube
  25. Lesson 25: Alternative forms of CAPM- Part 1 YouTube
  26. Lesson 26: Alternative forms of CAPM- Part 2 YouTube
  27. Lesson 27: Volatility modelling YouTube
  28. Lesson 28: Tail Risk Measurement: VaR and CVaR (or ES) models YouTube