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This study employs a bivariate asymmetric generalized autoregressive conditional heteroscedasticity (GARCH) model to estimate the return, variance and covariance for three stock-based portfolios composed...
Backtesting for counterparty credit risk (CCR) constitutes a major challenge for risk and trading departments in banks that use internal models or have an interest in calculating their credit default exposures...
We discuss the relative performances of value-at-risk (VaR) models using generalized autoregressive conditional heteroscedasticity (GARCH), Glosten-Jagannathan-Runkle GARCH and integrated GARCH (IGARCH)...
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Sponsored video: Tradeweb
Multifonds talks to Custody Risk on being nominated for the Post-Trade Technology Vendor of the Year at the Custody Risk Awards 2014
Sponsored webinar: IBM Risk Analytics
Nominated for two technology awards
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