A Primer on the Orthogonal GARCH Model
نویسندگان
چکیده
During the last few years there have been many changes in the way that financial institutions model risk. New risk capital regulations have motivated a need for vertically integrated risk systems based on a unified framework throughout the whole office. If the risk exposures in all locations of a large institution are to be netted, the risk system must also be horizontally integrated and regulators are pushing towards an environment where traders, quants and risk managers from all offices are referring to risk measures generated by the same models.
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