Risk Modelling and Management: An Overview

Chia-Lin Chang (), David Allen, Michael McAleer and Teodosio Pérez-Amaral

No EI 2013-22, Econometric Institute Research Papers from Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute

Abstract: The papers in this special issue of Mathematics and Computers in Simulation are substantially revised versions of the papers that were presented at the 2011 Madrid International Conference on “Risk Modelling and Management” (RMM2011). The papers cover the following topics: currency hedging strategies using dynamic multivariate GARCH, risk management of risk under the Basel Accord: A Bayesian approach to forecasting value-at-risk of VIX futures, fast clustering of GARCH processes via Gaussian mixture models, GFC-robust risk management under the Basel Accord using extreme value methodologies, volatility spillovers from the Chinese stock market to economic neighbours, a detailed comparison of Value-at-Risk estimates, the dynamics of BRICS's country risk ratings and domestic stock markets, U.S. stock market and oil price, forecasting value-at-risk with a duration-based POT method, and extreme market risk and extreme value theory.

Keywords: BRICS; Basel Accord; VIX futures; country risk ratings; currency hedging strategies; extreme market risks; extreme value methodologies; fast clustering; forecasting; mixture models; risk management; value-at-risk; volatility spillovers (search for similar items in EconPapers)
JEL-codes: C14 C32 C53 G11 G32 (search for similar items in EconPapers)
Pages: 10
Date: 2013-06-01
New Economics Papers: this item is included in nep-fmk, nep-for and nep-rmg
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Related works:
Working Paper: Risk Modeling and Management: An Overview (2013)
Working Paper: Risk Modelling and Management: An Overview (2013)
Working Paper: Risk Modelling and Management: An Overview (2013)
Working Paper: Risk Modelling and Management: An Overview (2013)
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