For non-parametric models, the data consists of historical time-series of risk factors.
For parametric models, the parameters are usually estimated from historical time
series of these variables, e.g. by computing a sample covariance matrix. Collection,
cleaning, and processing of historical time-series can be an expensive proposition.
The opportunity to avoid this task has fueled the popularity of the RiskMetrics
datasets.
Hiç yorum yok:
Yorum Gönder