quantifying-volatility

  1. Nicole Seaman

    P1.T4.803. Quantifying volatility in value at risk (VaR) models (Allen)

    Learning objectives: Explain how asset return distributions tend to deviate from the normal distribution. Explain reasons for fat tails in a return distribution and describe their implications. Distinguish between conditional and unconditional distributions. Describe the implications of regime...
    • Nicole Seaman
    • Thread
    • asset-return-distributions conditional-distributions fat-tails quantifying-volatility regime-switching unconditional-distributions
    • Replies: 0
    • Forum: FRM® Practice Questions
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