Enterprise Risk Management Slides

Measuring and managing market, credit and Op risk [98]

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Bullet points include: To try to cater for heteroscedasticity, risk models often include GARCH models or the like Example: GARCH(1,1) model: Here alpha, beta, gamma are positive constants Akin to a Kalman filter applied to, or Bayesian updating of, the estimated volatility sigma2

Bullet points include: To try to cater for heteroscedasticity, risk models often include GARCH models or the like Example: GARCH(1,1) model: Here alpha, beta, gamma are positive constants Akin to a Kalman filter applied to, or Bayesian updating of, the estimated volatility sigma2

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