unconditional-distributions
-
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
- Thread
- asset-return-distributions conditional-distributions fat-tails regime-switching unconditional-distributions
- Replies: 0
- Forum: FRM® Practice Questions