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Risk Modelling and Management: An Overview
Company: Tinbergen Institute
Company Url: Click here to open
Year Of Publication: 2013
Month Of Publication: July
Pages: 12
Download Count: 11
View Count: 1216
Comment Num: 0
Language: English
Source: working paper
Who Can Read: Free
Date: 7-4-2013
Publisher: Administrator
Summary
The papers in this special issue of Mathematics and Computers in Simulation are substantially revised versions of the papers that were presented at the 2011 Madrid International Conference on “Risk Modelling and Management” (RMM2011). The papers cover the following topics: currency hedging strategies using dynamic multivariate GARCH, risk management of risk under the Basel Accord: A Bayesian approach to forecasting value-at-risk of VIX futures, fast clustering of GARCH processes via Gaussian mixture models, GFC-robust risk management under the Basel Accord using extreme value methodologies, volatility spillovers from the Chinese stock market to economic neighbours, a detailed comparison of Value-at-Risk estimates, the dynamics of BRICS's country risk ratings and domestic stock markets, U.S. stock market and oil price, forecasting value-at-risk with a duration-based POT method, and extreme market risk and extreme value theory.
TI 2013-085/III
This document is published in Mathematics and Computers in Simulation, 2013, http://dx.doi.org/10.1016/j.matcom.2013.08.001
Author(s)
Chang, Chia-lin Sign in to follow this author
Allen, David E. Sign in to follow this author
McAleer, Michael Sign in to follow this author
Pérez-Amaral, Teodosio Sign in to follow this author
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