quantifying-volatility
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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
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- asset-return-distributions conditional-distributions fat-tails regime-switching unconditional-distributions
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