التفاصيل البيبلوغرافية
| العنوان: |
Risk Modelling and Management: An Overview |
| المؤلفون: |
Chang, C-L. (Chia-Lin), Allen, D.E. (David), McAleer, M.J. (Michael), Pérez-Amaral, T. (Teodosio) |
| المصدر: |
Discussion paper / Tinbergen Institute, pp. 1-12 |
| سنة النشر: |
2013 |
| المجموعة: |
RePub - Publications from Erasmus University, Rotterdam |
| مصطلحات موضوعية: |
BRICS, Basel Accord, VIX futures, country risk ratings, currency hedging strategies, extreme market risk, extreme value methodologies, fast clustering, forecasting, mixture models, risk management, value-at-risk, volatility spillovers |
| الوصف: |
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. |
| نوع الوثيقة: |
report |
| وصف الملف: |
application/pdf |
| اللغة: |
English |
| Relation: |
http://repub.eur.nl/pub/40419; urn:hdl:1765/40419 |
| الاتاحة: |
http://repub.eur.nl/pub/40419 |
| Rights: |
info:eu-repo/semantics/openAccess |
| رقم الانضمام: |
edsbas.A3A3CA62 |
| قاعدة البيانات: |
BASE |