Record Detail Back
Financial Risk Measurement for Financial Risk Management
- Share to:
Financial risk management is a huge field with diverse and evolving components, as
evidenced by both its historical development (e.g. Diebold, 2012 ) and current best
practice (e.g. Stulz, 2002 ). One such component—probably the key component—is
risk measurement , in particular the measurement of financial asset-return volatilities and
correlations (henceforth “volatilities”). Crucially, asset-return volatilities are time varying,
with persistent dynamics. This is true across assets, asset classes, time periods, and
countries, as vividly brought to the fore during numerous crisis events, most recently
and prominently the 2007–2008 financial crisis and its long-lasting aftermath. The
field of financial econometrics devotes considerable attention to time-varying volatility
and associated tools for its measurement, modeling, and forecasting
Torben G. Andersen - Personal Name
Peter F. Christoffersen - Personal Name
Tim Bollerslev - Personal Name
Francis X. Diebold - Personal Name
Peter F. Christoffersen - Personal Name
Tim Bollerslev - Personal Name
Francis X. Diebold - Personal Name
NONE
Financial Risk Measurement for Financial Risk Management
Management
English
Elsevier Inc.
2013
LOADING LIST...
LOADING LIST...