Enterprise Risk Management Slides

Creating and validating risk models [12]

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Bullet points include: How might we create a model that includes all risk dimensions Build a model based on short term volatilities, akin to RiskMetrics; or Build a model based on long-term solvency analysis, as in CreditMetrics Note also fundamental limits imposed by lack of data, easiest seen by considering a pure factor model

Bullet points include: How might we create a model that includes all risk dimensions Build a model based on short term volatilities, akin to RiskMetrics; or Build a model based on long-term solvency analysis, as in CreditMetrics Note also fundamental limits imposed by lack of data, easiest seen by considering a pure factor model

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