Risk Modeling and Management: An Overview (2013)
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 Modeling 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.
CitationChang, C-L., Allen, D. E., McAleer, M., Amaral, T. P. (2013) Risk Modeling and Management: An Overview. Department of Economics and Finance College of Business and Economics University of Canterbury..
This citation is automatically generated and may be unreliable. Use as a guide only.
KeywordsCurrency hedging strategies; Basel Accord; risk management; forecasting; VIX futures; fast clustering; mixture models; extreme value methodologies; volatility spillovers; Value-at-Risk; country risk ratings; BRICS; extreme market risk. JEL Classi
ANZSRC Fields of Research35 - Commerce, management, tourism and services::3502 - Banking, finance and investment::350208 - Investment and risk management
38 - Economics::3802 - Econometrics::380202 - Econometric and statistical methods
Showing items related by title, author, creator and subject.
Asai, M.; Caporin, M.; McAleer, M. (College of Business and EconomicsUniversity of Canterbury. Department of Economics and Finance, 2012)Most multivariate variance or volatility models suffer from a common problem, the "curse of dimensionality". For this reason, most are fitted under strong parametric restrictions that reduce the interpretation and flexibility ...
Allen, D. E.; McAleer, M.; Scharth, M. (University of Canterbury. Department of Economics and Finance, 2014)In this paper we document that realized variation measures constructed from highfrequency returns reveal a large degree of volatility risk in stock and index returns, where we characterize volatility risk by the extent ...
Santos, P.S.; Jiménez-Martín, J.; Michael McAleer, M.; Amaral, T. (College of Business and EconomicsUniversity of Canterbury. Department of Economics and Finance, 2011)In McAleer et al. (2010b), a robust risk management strategy to the Global Financial Crisis (GFC) was proposed under the Basel II Accord by selecting a Value-at-Risk (VaR) forecast that combines the forecasts of different ...