Introductory Models

Fundamentals for all Concrete research and risk work

A base understanding of the following models is vital to understand the models Concrete uses in practice. To be clear, the models described below are the base versions of more complex models utilized by the risk engine. The index for these models is included here.

Model	TLDR
Volatility models	Overview of a range of models including GARCH, UVMs, and more.
Value-at-risk models	Foundational model type for internal risk management.
Machine learning models	Broad overview of applying ML to forecasting and credit risk.
Factor models	Central model for the collateral risk engine.
Cramer-Lundberg models	Insurance focused models used for internal risk management.
Black-Scholes-Merton models	Vital model class for pricing, internal risk management, and much more.
Auto-regressive and moving average models	Battle-tested linear models used for forecasting.