VaR when volatility is changing [electronic resource] / Elizabeth Sheedy.
Material type:![Film](/opac-tmpl/lib/famfamfam/VM.png)
Animated audio-visual presentations with synchronized narration.
Title from title frames.
Contents: What can we learn from problems with VaR models in late 2007? -- Common patterns in volatility (the clustering effect) -- Forecasting volatility using GARCH -- Implications for VaR, stress testing and capital requirements.
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Mode of access: World Wide Web.