Risks at financial and energy markets

Описание: Yaroslav Nevmerzhytski, CFA, FRM, ERP, Deputy Chief Risk Officer, Naftogaz is presenting modeling financial/energy markets to understand market risks. In this presentation Yaroslav is addressing issues of financial/commodity market dynamics and market risk modeling:
☑️ what is the market risk and how to measure its metrics: simulations (historical vs. Monte Carlo) or parametric estimation
☑️ how to estimate and interpret Value at Risk and Expected Shortfalls (CVaR)
☑️ volatility as an indicator of market dynamics: GARCH, HAR
☑️ modern models to predict volatility dynamics
☑️ pitfalls of modeling: rationalities, stationarity, asymmetry, leverage, mapping and dimension reduction.

At 2019 Valuation Workshop by CFA Society Ukraine.