context of risk models, interest centers on more than just a single point of the forecast distribution. For example, value-at-risk … approach to evaluating such forecasts. It requires evaluation of the entire forecast distribution, rather than a value-at-risk …

the implications of this link between measures of volatility and correlation for risk management, bank supervision, and …Financial market observers have noted that during periods of high market volatility, correlations between asset prices …-varying sampling volatility. As noted by Boyer, Gibson and Loretan (1999), increases in the volatility of returns are generally …

portfolio size and degree of risk aversion of potential investors, the ability to borrow, and the hedging opportunities provided …