Risk Modelling and Management: An Overview



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Chang, Chia-Lin and Allen, David E. and McAleer, Michael and Pérez-Amaral, Teodosio (2013) Risk Modelling and Management: An Overview. [ Documentos de Trabajo del Instituto Complutense de Análisis Económico (ICAE); nº 22, 2013, ]

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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.

Item Type:Working Paper or Technical Report
Additional Information:

The authors are grateful to the numerous reviewers for their speed and efficiency, and to the Managing Editor and France Pinon for their assistance in preparing this volume. For financial support, the first author acknowledges the National Science Council, Taiwan, the second author thanks the Australian Research Council, and the third author is grateful to the Australian Research Council, the National Science Council, Taiwan, and the Japan Society for the Promotion of Science.

Uncontrolled Keywords:Currency hedging strategies, Basel Accord, Risk management, Forecasting, VIX futures, Fast clustering, Mixture models, extreme value methodologies, Volatility spillovers, Value-at-Risk, Country risk ratings, BRICS, Extreme market risk.
Subjects:Social sciences > Economics > Econometrics
JEL:C14, C32, C53, C58, G11, G32
Series Name:Documentos de Trabajo del Instituto Complutense de Análisis Económico (ICAE)
ID Code:22111
Deposited On:26 Jun 2013 12:25
Last Modified:15 Jan 2021 09:52

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