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Book/Printed Material Practical volatility and correlation modeling for financial market risk management

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Title

  • Practical volatility and correlation modeling for financial market risk management

Summary

  • "What do academics have to offer market risk management practitioners in financial institutions? Current industry practice largely follows one of two extremely restrictive approaches: historical simulation or RiskMetrics. In contrast, we favor flexible methods based on recent developments in financial econometrics, which are likely to produce more accurate assessments of market risk. Clearly, the demands of real-world risk management in financial institutions--in particular, real-time risk tracking in very high-dimensional situations--impose strict limits on model complexity. Hence we stress parsimonious models that are easily estimated, and we discuss a variety of practical approaches for high-dimensional covariance matrix modeling, along with what we see as some of the pitfalls and problems in current practice. In so doing we hope to encourage further dialog between the academic and practitioner communities, hopefully stimulating the development of improved market risk management technologies that draw on the best of both worlds"--National Bureau of Economic Research web site.

Names

  • Andersen, Torben G. (Torben Gustav)
  • National Bureau of Economic Research

Created / Published

  • Cambridge, MA : National Bureau of Economic Research, c2005.

Headings

  • -  Capital market--Mathematical models
  • -  Financial institutions--Mathematical models
  • -  Risk management--Mathematical models

Notes

  • -  Title from PDF file as viewed on 2/1/2005.
  • -  Includes bibliographical references.
  • -  Also available in print.
  • -  Mode of access: World Wide Web.
  • -  System requirements: Adobe Acrobat Reader.

Call Number/Physical Location

  • HB1

Digital Id

Library of Congress Control Number

  • 2005616202

Access Advisory

  • Unrestricted online access

Online Format

  • image
  • pdf

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Cite This Item

Citations are generated automatically from bibliographic data as a convenience, and may not be complete or accurate.

Chicago citation style:

Andersen, Torben G, and National Bureau Of Economic Research. Practical Volatility and Correlation Modeling for Financial Market Risk Management. Cambridge, MA: National Bureau of Economic Research, 2005. Pdf. https://aj.sunback.homes/item/2005616202/.

APA citation style:

Andersen, T. G. & National Bureau Of Economic Research. (2005) Practical Volatility and Correlation Modeling for Financial Market Risk Management. Cambridge, MA: National Bureau of Economic Research. [Pdf] Retrieved from the Library of Congress, https://aj.sunback.homes/item/2005616202/.

MLA citation style:

Andersen, Torben G, and National Bureau Of Economic Research. Practical Volatility and Correlation Modeling for Financial Market Risk Management. Cambridge, MA: National Bureau of Economic Research, 2005. Pdf. Retrieved from the Library of Congress, <aj.sunback.homes/item/2005616202/>.