Course Unit 2: Determination of Portfolio Risks

Dietmar Ernst and Joachim Häcker
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Dietmar Ernst: Nürtingen-Geislingen University of Applied Science (HfWU)
Joachim Häcker: Munich University of Applied Sciences

A chapter in Corporate Risk Management, 2024, pp 119-152 from Springer

Abstract: Abstract You will be able to calculate the portfolio risk with the variance-covariance method and place the concept in modern capital market theory. You will have mastered portfolio risk calculation using historical simulation and will be able to explain the differences from the variance-covariance method. You will be able to perform Monte Carlo simulations for normally distributed and calibrated risk parameters and explain differences in the results. You will be familiarized with the concept of Copula functions, explaining them and using them to calculate portfolio risk. Also, you will calculate the market value of equity using stock market multiples.

Date: 2024
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DOI: 10.1007/978-3-031-53126-2_6

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