Enterprise Risk Management Slides

Market Risk [16]

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Bullet points include: 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 sigma ^ 2

Bullet points include: 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 sigma ^ 2

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