28.08.2025 Master Seminar WS 2025/26 Computation of Value at Risk and Conditional Value at Risk

"Computation of Value at Risk and Conditional Value at Risk"

  • Registration

    September 1 to October 14, 2025: Please register via MARVIN

    maximum limits for the number of participants for the Bachelor Seminar: 15

  • General information

    Information on basic ideas, topics, examination etc. can be found on our seminar page.

  • Assignments

    • General Assignment
      • Computation of Value at Risk and Conditional Value at Risk for concrete time series
      • Ex post verification of Value at Risk and Conditional Value at Risk forecasts
    • Individual Aspects
      • Preparing the time series for the analysis
        • Data preparation (for example: with Stock-Splits, missing values, etc.)
        • Test regarding weak stationarity of the time series
      • Computation of VaR and CVaR
        • Historical simulation versus variance/covariance approach
          • Different estimation windows
          • Different portfolios
          • Different loss probabilities
          • etc.
        • Graphical comparison of the two approaches
      • Ex post verification

  • Time schedule

    • Kick-off: digital on October 15, 2025, 09:00 to 09:45 a.m., for all participants registered in MARVIN or on the waiting list
    • Topics will be assigned on October 27, 2025.
      • Topics will be sent by email, no personal contact is required.
    • Intermediate presentation: block-event which will be held December 05, 2025.
    • Submission of the written work via email must be in form of word or pdf data or data medium (not CD or DVD-only USB): January 12, 2025 not later than 11:30 AM.
    • Final presentation: which will be held January 23 , 2026, room AA 011. 

  • Minimum requirements for passing the Studienleistung (intermediate presentation, not graded component of the seminar)

    • Data preparation must be accomplished.

    • Value at Risk must computed for at least one portfolio using at least one run of historical simulation and one of the variance/covariance approach

    • Additional individual requirements might be imposed by your respective supervisor.

  • Deregistration

    Withdrawal is possible until October 24, 2025, not later than 12:00 p.m.. Later withdrawals will automatically lead to a fail grade. 

    Reason for this restrictive treatment of withdrawals: People on the waiting list must be given a chance to participate in the seminar if free places arise due to withdrawal.



    • A failed mid-term presentation will lead to a fail grade for the exam.

  • References

    • Further readings will be provided by the supervisor if necessary.