Enterprise Risk Management Slides

Measuring and managing market, credit and Op risk [28]

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Bullet points include: Weight more recent observations more highly? See e.g. www.nematrian.com/WeightedMomentsandCumulants.aspx Missing data Typically we find another instrument (or combination of instruments) to use to ‘back-fill’ missing data See e.g. www.nematrian.com/ExtremeEventsQuestionsAndAnswers3_1q.aspx

Bullet points include: Weight more recent observations more highly? See e.g. www.nematrian.com/WeightedMomentsandCumulants.aspx Missing data Typically we find another instrument (or combination of instruments) to use to ‘back-fill’ missing data See e.g. www.nematrian.com/ExtremeEventsQuestionsAndAnswers3_1q.aspx

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