Presented By:
Elena Goldman, Professor of Finance and Graduate Economics
Pace University
Date:
February 12, 2020
Time:
10:00 a.m. - 11:00 a.m. EST
3:00 p.m. - 4:00 p.m. GMT
Session Length:
60 minutes
In this webinar, measures of downside risks, namely, Value at Risk (VaR) and Expected Shortfall (ES) in univariate and multivariate settings will be presented. Pros and cons of each method will be discussed with illustrations using coding in R. Next, backtesting for several models, including volatility based exponentially moving average (EWMA) and generalized conditional heteroscedasticity (GARCH) will be illustrated. Finally, longer-term risks such as systemic risk will be introduced. Participants will become familiar with various VaR methods and backtesting.
About Our Experts |
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Elena Goldman, PhD, is a Professor of Finance and Graduate Economics at the Lubin School of Business at Pace University. Her research and teaching are in the fields of Financial Econometrics, Bayesian Econometrics, Risk Management, and International Finance. Goldman’s recent academic publications include "Regimes and Long Memory in Realized Volatility," Studies in Nonlinear Dynamics and Econometrics and “Internal Capital Markets and Dividend Policy: Evidence from Indian Corporates," Journal of Financial Research. Her current working papers are on systemic risk, asymmetric GARCH volatility models, and margin models for Central Clearing Counterparties (CCPs). She currently serves on the Education Committee for PRMIA. Goldman was a fellow at the SEC in 2016. She holds a Ph.D. in Economics from Rutgers University.
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Continued Risk Learning Credits: 1 |
PRMIA Continued Risk Learning (CRL) programs provide you with the opportunity to formally recognize your professional development, documenting your evolution as a risk professional. Employers can see that you are not static, making you a highly valued, dynamic, and desirable employee. The CRL program is open to all Contributing, Sustaining, and Risk Leader members, providing a convenient and easily accessible way to submit, manage, track and document your activities online through the PRMIA CRL Center. To request CRL credits, please email [email protected].
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Registration |
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Membership Type |
Price |
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Sustaining, Corporate, and RIM Members |
$ FREE |
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Contributing Member |
$ 35 |
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Non Member |
$ 75 |
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