Bodó-Győri Nikolett (Morgan Stanley): Value at Risk models in quantitative risk management

Value at Risk (VaR) is the number one risk management tool used by
financial institutions today. It is driving strategic decisions, new
trades, portfolio composition and many more. We will discuss why this
is the favored method and also any drawbacks it may have. We will see
various numeric methods available to estimate the VaR, using mostly
probability theory and statistics. Finally we will get into testing:
how do I know if my model is correct? Backtesting is required by Basel
rules and it is also the ultimate proof of the pudding.