Financial Time Series: GARCH Processes

Related lectures (32)

Page 1 of 4

Covers volatility modeling in quantitative risk management, including ARMA, ARCH, GARCH models, and forecasting.

Explores risk management concepts, including VaR, ES, and measurement methods.

Explores the importance of aggregate risk and coherent risk measures, including their interpretation and implications.

Covers volatility modeling in risk management, including ARMA, ARCH, GARCH models, causal representation, and forecasting.

Covers risk measures used for determining risk capital and capital adequacy.

Explores Value-at-Risk and Expected Shortfall as key risk measures in financial risk management.

Covers statistical tools, risk models, and challenges in quantitative risk management.

Covers Value at Risk (VaR) and Expected Shortfall (ES) in risk management, including backtesting and multivariate distributions.

Covers statistical tools for financial risk modeling, history of risk management, and Basel Accords.

Explores risk and return in finance, covering securities' performance, rates of return, variance, volatility, and portfolio diversification.