Template-Type: ReDIF-Paper 1.0
Author-Name: Chang, C-L.
Author-Name-Last: Chang
Author-Name-First: Chia-Lin
Author-Person: pch286
Author-Name: Allen, D.E.
Author-Name-Last: Allen
Author-Name-First: David
Author-Name: McAleer, M.J.
Author-Name-Last: McAleer
Author-Name-First: Michael
Author-Person: pmc90
Author-Name: Pérez-Amaral, T.
Author-Name-Last: Pérez-Amaral
Author-Name-First: Teodosio
Author-Person: ppe568
Title: Risk Modelling and Management: An Overview
Abstract: 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.
Length: 10
Creation-Date: 2013-06-01
File-URL: https://repub.eur.nl/pub/40777/EI2013-22_1.pdf
File-Format: application/pdf
Series: RePEc:ems:eureir
Number: EI 2013-22
Classification-JEL: C14, C32, C53, G11, G32
Keywords: BRICS, Basel Accord, VIX futures, country risk ratings, currency hedging strategies, extreme market risks, extreme value methodologies, fast clustering, forecasting, mixture models, risk management, value-at-risk, volatility spillovers
Handle: RePEc:ems:eureir:40777