Value at Risk - Ch.9: Forecasting Risk Correlations


#1

A Fellowship Forums Wiki Community Post

Online Link to this Reading: N/A

Key Takeaways:

  • Placeholder for Takeaway 1
  • Placeholder for Takeaway 2
  • Placeholder for Takeaway 3

#2

This reading is quite technical, and I’m having trouble following some of the math/formulas.

How much depth do you think we need to know regarding the different models? For example, should I be memorizing the formula for the GARCH(1,1) process?

Thanks!


#3

Based on what I have seen they typically give the formula, but they would ask questions about the GARCH process like whether successive estimates are independent, the unconditional variance (alpha_0/(1-alpha_1-beta), the difference between GARCH and MA, things like that. There are a few old exam questions on the topic.


Value at Risk - Ch.9: Forecasting Risk and Correlations