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Printable Handouts
Navigable Slide Index
- Introduction
- Statistical models for risk management
- Outline
- Definisions of returns
- Annualize multiyear returns
- Log return and multiperiod return
- Dividend paying assets
- Excess return
- Distribution of returns
- Problems (1)
- Problems (2)
- Log-normal
- Log-returns
- Final equation
- Basic definition of normal random variable
- Finding all moments
- Log-normal and historical returns
- Returns - summary of stylized facts
- Notation
- Skewness and kurtosis - definition
- Note
- Autocovariance
- Stationarity (1)
- Stationarity (2)
- Autocorrelation
- Distributional model for asset return (1)
- Distributional model for asset return (2)
- Distributional model for asset return (3)
- Models of conditional variance
- ARCH/GARCH (1)
- ARCH/GARCH - properties
- ARCH/GARCH (2)
- Stochastic volatility (SV) models (1)
- Stochastic volatility (SV) models (2)
- Distribution of returns - multivariate
- Multivariate normal distribution
- Note - multivariate normal distribution (1)
- Note - multivariate normal distribution (2)
- Mixture distributions (1)
- Mixture distributions (2)
- Mixture distributions (3)
- Multivariate GARCH processes (1)
- Multivariate GARCH processes (2)
- Non-linear dependence and copulas
- Note - non-linear dependence
- Sklar's theorem (Sklar (1959)) (1)
- Sklar's theorem (Sklar (1959)) (2)
- Rank correlation, tail dependence and copulas (1)
- Rank correlation, tail dependence and copulas (2)
- Rank correlation, tail dependence and copulas (3)
- Tail dependence
- Copulas - types
- Bivariate Gaussian copula (1)
- Bivariate Gaussian copula (2)
- t copula
- Gumbel copula
- Clayton copula
- References and further reading (1)
- References and further reading (2)
- Further reading
Topics Covered
- Definition of returns: simple returns and log returns
- Distribution of returns, univariate: normal and log-normal distribution
- Stylized facts of historical returns
- Skewness, kurtosis, autocorrelation and stationarity
- ARCH, GARCH and stochastic volatility (SV) models
- Distribution of returns, multivariate: multivariate normal distribution
- Multivariate GARCH and SV models
- Copulas and non-linear dependence
Talk Citation
Knight, J. (2007, October 1). Statistical models for risk management [Video file]. In The Business & Management Collection, Henry Stewart Talks. Retrieved November 13, 2024, from https://doi.org/10.69645/SNSS5157.Export Citation (RIS)