Credit Risk 5 – Risk Contributors

Course Overview

This introductory iRiskWebinar assess the contribution to individual risks in a portfolio. After reviewing standard measures of risk – standard deviation, Sharpe ratio – the iRiskWebinar examines some of the less common measures of risk such as the Sortino ratio. It analyzes the desirable qualities of risk measures and discusses why standard deviation may fail to sufficiently capture the various aspects of risk. Additionally, the iRiskWebinar considers the measurement of tail risk and percentile based risk measures.