Enterprise Risk Management Slides

Market Risk [23]

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Bullet points include: Sample of n observations: Each, say, an independent draw from a distribution with following density, where theta is a vector of distributional parameters: The likelihood, L, for the sample is then: To estimate the parameters theta we may maximise L with respect to theta. This maximum likelihood estimator is denoted theta_ML, i.e.

Bullet points include: Sample of n observations: Each, say, an independent draw from a distribution with following density, where theta is a vector of distributional parameters: The likelihood, L, for the sample is then: To estimate the parameters theta we may maximise L with respect to theta. This maximum likelihood estimator is denoted theta_ML, i.e.

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