Horizon problems and extreme events in financial risk management
Francis Diebold () and
Economic Policy Review, 1998, issue Oct, 109-118
This paper was presented at the conference "Financial services at the crossroads: capital regulation in the twenty-first century" as part of session 3, "Issues in value-at-risk modeling and evaluation." The conference, held at the Federal Reserve Bank of New York on February 26-27, 1998, was designed to encourage a consensus between the public and private sectors on an agenda for capital regulation in the new century.
Keywords: Risk; Forecasting (search for similar items in EconPapers)
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Working Paper: Horizon Problems and Extreme Events in Financial Risk Management (1998)
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Persistent link: https://EconPapers.repec.org/RePEc:fip:fednep:y:1998:i:oct:p:109-118:n:v.4no.3
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