Practical volatility and correlation modeling for financial market risk management

Practical volatility and correlation modeling ...
Torben G. Andersen
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Last edited by MARC Bot
February 7, 2019 | History

Practical volatility and correlation modeling for financial market risk management

"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.

Publish Date
Language
English
Pages
25

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Book Details


Edition Notes

"January 2005."

Includes bibliographical references.

Also available in PDF from the NBER world wide web site (www.nber.org).

Published in
Cambridge, Mass
Series
NBER working paper series -- no. 11069., Working paper series (National Bureau of Economic Research) -- working paper no. 11069.

The Physical Object

Pagination
25, [14] p. :
Number of pages
25

ID Numbers

Open Library
OL17626039M
OCLC/WorldCat
57702846

Source records

Oregon Libraries MARC record

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