Enterprise Risk Management Slides

Analysis of extreme events [28]

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Bullet points include: We saw that time-varying volatility seems to be a very important contributor to fat-tails Trade-off between Immediacy (shorter time window) Statistical reliability (longer time window) But bear in mind that selecting the period that looks ‘best’ is to some extent imposing a prior view on the data

Bullet points include: We saw that time-varying volatility seems to be a very important contributor to fat-tails Trade-off between Immediacy (shorter time window) Statistical reliability (longer time window) But bear in mind that selecting the period that looks ‘best’ is to some extent imposing a prior view on the data

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