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Horizon problems and extreme events in financial risk management

Peter Christoffersen, Francis Diebold () and Til Schuermann

Economic Policy Review, 1998, issue Oct, 109-118

Abstract: 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)
Date: 1998
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