GARCH(1,1): Parameters from Maximum Likelihood Estimation
In this short video from FRM Part 1 curriculum, we look at estimating parameters of the GARCH(1,1) model using Maximum Likelihood Estimation (MLE).
Category: Swatches
GARCH(1,1): A First (and Closer) Look
In this short video from FRM Part 1 curriculum, we take a first (and close) look at the Generalised Autoregressive Conditional Heteroskedasticity (GARCH) model.
What is Basis Risk?
In this short video from FRM Part 1 curriculum, we take a look at a very important risk that you’ll be exposed to if you hedge using futures – basis risk.
Jensen’s Inequality
In this short video from FRM Part 2 curriculum, we explore the Jensen’s Inequality and what it implies for linear, convex and concave functions.
Hazard Rate (Default Intensity) : Different Interpretations
In this short video from FRM Part 2 (Credit Risk section), we explore the various interpretations of the hazard rate / default intensity – a construct that we encounter while studying reduced form models of credit risk.
Conditional Expectation: A different kind of expectation
In this short video, we cover the concept of conditional expectation, a concept that is relevant to both FRM Part 1 and FRM Part 2, notably with regards to Expected Shortfall.
Credit Risk Models: Default Mode vs Migration Mode
In this short video from FRM Part II curriculum, we take a comparative look at two modes credit risk models fall in – the default mode and the migration mode.
The Inverse Transform Method
In this short video from FRM Part 1 curriculum, we take a look at the inverse Transform Method used for repeatedly sampling or simulating a random variable that is stated to follow a certain (given) distribution.
Autocorrelations vs Partial Autocorrelations
In this short video from FRM Part 1, we go deeper into the concept of Partial Autocorrelations – explore what they mean, how they’re different from autocorrelations and how they’re estimated.
Exogenous vs Endogenous Liquidity : A Comparative Look
In this short video from FRM Part 2, we take a quick look at how VaR is impacted by Transaction or Asset liquidity, and then finally differentiate between Exogenous and Endogenous liquidity.