Risk Modelling and Management: An Overview
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.
|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|
|JEL||Semiparametric and Nonparametric Methods (jel C14), Time-Series Models; Dynamic Quantile Regressions (jel C32), Forecasting and Other Model Applications (jel C53), Portfolio Choice; Investment Decisions (jel G11), Financing Policy; Capital and Ownership Structure (jel G32)|
|Publisher||Erasmus School of Economics|
|Series||Econometric Institute Research Papers|
|Journal||Report / Econometric Institute, Erasmus University Rotterdam|
Chang, C-L, Allen, D.E, McAleer, M.J, & Pérez-Amaral, T. (2013). Risk Modelling and Management: An Overview (No. EI 2013-22). Report / Econometric Institute, Erasmus University Rotterdam (pp. 1–10). Erasmus School of Economics. Retrieved from http://hdl.handle.net/1765/40777