Statistical models for risk management [electronic resource] / John Knight.
Material type:
FilmSeries: Henry Stewart talksBusiness & management collection. Quantitative financial risk management: Publisher: London : Henry Stewart Talks, 2007Description: 1 online resource (1 streaming video file (23 min.) : color, sound)Subject(s): Financial risk managementOnline resources: Click here to access online | Series Animated audio-visual presentations with synchronized narration.
Title from title frames.
Contents: Definition of Returns: Simple Returns; 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.
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Mode of access: World Wide Web.