The Present and Future of Financial Risk Management
Carol Alexander ()
Journal of Financial Econometrics, 2005, vol. 3, issue 1, pages 3-25
Current research on financial risk management applications of econometrics centers on the accurate assessment of individual market and credit risks with relatively little theoretical or applied econometric research on other types of risk, aggregation risk, data incompleteness, and optimal risk control. We argue that consideration of the model risk arising from crude aggregation rules and inadequate data could lead to a new class of reduced-form Bayesian risk assessment models. Logically, these models should be set within a common factor framework that allows proper risk aggregation methods to be developed. We explain how such a framework could also provide the essential links between risk control, risk assessments, and the optimal allocation of resources. Copyright 2005, Oxford University Press.
References: Add references at CitEc
Citations View citations in EconPapers (7) Track citations by RSS feed
Downloads: (external link)
Access to full text is restricted to subscribers.
This item may be available elsewhere in EconPapers: Search for items with the same title.
Export reference: BibTeX
RIS (EndNote, ProCite, RefMan)
Persistent link: http://EconPapers.repec.org/RePEc:oup:jfinec:v:3:y:2005:i:1:p:3-25
Ordering information: This journal article can be ordered from
Access Statistics for this article
Journal of Financial Econometrics is currently edited by Ren» Garcia and Eric Renault
More articles in Journal of Financial Econometrics from Society for Financial Econometrics
Address: Oxford University Press, Great Clarendon Street, Oxford OX2 6DP, UK
Contact information at EDIRC.
Series data maintained by Oxford University Press ().