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Measuring and managing market, credit and Op risk [27]

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Bullet points include: What if incomplete data histories for components (e.g. new issues) Or instruments change characteristics – e.g. company moves to new sector? Or involves non-linear, i.e. option or option-like exposures? What if innovations not i.i.d.? Heteroscedasticity and GARCH What if innovations (i.e., here, daily returns) not Normally distributed? Do our risk estimators appropriately handle idiosyncratic risk? This is potentially very important for portfolio optimisers

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