02 — Capability · BC-1780.20.10
Value-at-Risk & Sensitivities
Calculate VaR, expected shortfall and sensitivities for trading-book and other fair-value positions, and back-test the results against actual outcomes.
- VaR
- Expected Shortfall
02 — Capability · BC-1780.20.10
Calculate VaR, expected shortfall and sensitivities for trading-book and other fair-value positions, and back-test the results against actual outcomes.