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Measuring and managing market, credit and Op risk [117]

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Bullet points include: Method of moments Vary parameters to achieve exact fit to successive moments of distribution, e.g. mean, then variance (or sum of squared values?), then … Often relatively convenient but basic MoM may not always return valid (or meaningful) parameter values Generalised method of moments: achieve ‘best’ fit given some criterion for ‘best’ Maximum likelihood Identify ‘most likely’ choice of parameters

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