Enterprise Risk Management Slides

Market Risk [12]

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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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