Horizon problems and extreme events in financial risk management

Peter Christoffersen, Francis Diebold and Til Schuermann

Economic Policy Review, 1998, vol. 4, 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: Forecasting; Risk (search for similar items in EconPapers)
Date: 1998
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Citations: View citations in EconPapers (27)

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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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