MARC Record from Library of Congress

LEADER: 02369cam a22003137a 4500
001 2005616202
003 DLC
005 20050616162840.0
007 cr |||||||||||
008 050201s2005 mau sb 000 0 eng
010 $a 2005616202
040 $aDLC$cDLC
050 00 $aHB1
245 00 $aPractical volatility and correlation modeling for financial market risk management$h[electronic resource] /$cTorben G. Andersen ... [et al.].
260 $aCambridge, MA :$bNational Bureau of Economic Research,$cc2005.
490 1 $aNBER working paper series ;$vworking paper 11069
538 $aSystem requirements: Adobe Acrobat Reader.
538 $aMode of access: World Wide Web.
500 $aTitle from PDF file as viewed on 2/1/2005.
530 $aAlso available in print.
504 $aIncludes bibliographical references.
520 3 $a"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.
650 0 $aRisk management$xMathematical models.
650 0 $aCapital market$xMathematical models.
650 0 $aFinancial institutions$xMathematical models.
700 1 $aAndersen, Torben G.$q(Torben Gustav)
710 2 $aNational Bureau of Economic Research.
830 0 $aWorking paper series (National Bureau of Economic Research : Online) ;$vworking paper no. 11069.
856 40 $uhttp://papers.nber.org/papers/W11069