categories, as compiled by the EDHEC Risk Institute. The 17-year period runs from the beginning of 1997 to the end of August 2014 … a challenging one for the application of diversication and portfolio investment strategies. The analysis features an …

to the assessment of financial risk: namely Regular Vine copulas. Dependence modeling using copulas is a popular tool in …. One of the attractions of this approach to risk modelling is the flexibility in the choice of distributions used to model …

mathematical tool which can be applied in the assessment of composite financial risk. Copula-based dependence modelling is a … approach to risk modelling is the flexibility in the choice of distributions used to model co-dependencies. The practical …

portfolio investment strategies. The analysis is undertaken via the examination of multiple investment strategies and a variety … investment hold out period, to analyse a naive 1/N diversification strategy, and to contrast its effectiveness with Markowitz … mean variance analysis with positive weights. Markowitz optimisation is then compared with various down-side investment …

risk forecasts to the appropriate monetary authorities at the beginning of each trading day, using one or more risk models … to measure Value-at-Risk (VaR). The risk estimates of these models are used to determine capital requirements and … estimated VaR. In this paper we define risk management in terms of choosing from a variety of risk models, and discuss the …

, tradingstrategies and risk management in general. …

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 …

daily risk forecasts to the appropriate monetary authorities at the beginning of each trading day, using one or more risk … models to measure Value-at-Risk (VaR). The risk estimates of these models are used to determine capital requirements and … estimated VaR. In this paper we define risk management in terms of choosing sensibly from a variety of risk models, discuss the …