Learning Objectives:
• Estimate VaR using a historical simulation approach.
• Estimate VaR using a parametric approach for both normal and lognormal return distributions.
• Estimate the expected shortfall given profit and loss (P/L) or return data.
• Define coherent risk measures.
• Estimate risk measures by estimating quantiles.
• Evaluate estimators of risk measures by estimating their standard errors.
• Interpret quantile-quantile (QQ) plots to identify the characteristics of a distribution.