An Econometric Analysis of Financial Data in Risk Management

Dean Fantazzini

Applied Econometrics, 2008, vol. 10, issue 2, 91-137

Abstract: The article deals with a recent and much up to date field of econometric science not yet known to the Russian reader — financial econometrics. Terminology and concepts of different kinds of risk management as well as methods of its measurement are considered in the paper. The article is a chapter of a forthcoming book on econometric methods by professors Sergei Aivazian and Dean Fantazzini.

Keywords: Risk Measures; Risk Management; Value at Risk; Expected Shortfall; Market Risk; Historical simulation; Monte Carlo simulation; GARCH; Copula-GARCH; Backtesting (search for similar items in EconPapers)
JEL-codes: C22 C32 C52 C58 G17 G32 (search for similar items in EconPapers)
Date: 2008
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Citations: View citations in EconPapers (3)

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Journal Article: Econometric Analysis of Financial Data in Risk Management (2009)
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Persistent link: https://EconPapers.repec.org/RePEc:ris:apltrx:0006

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