Risk Management in Finance 2023, Kiss Gábor Dávid
Reading: John C. Hull (2018): Risk Management and Financial Institutions, University of Toronto
- DCC-GARCH
- Monitoring Correlation
- exponentially weighted moving average (EWMA) model
- Multivariate Normal Distributions
- Copulas
- Vasicek’s Model: worst case default rate
6 сен 2024