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 …

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 …

: liquidity timing leads to tangible economic gains; a risk-averse investor will pay a high performance fee to switch from a … risk-adjusted returns. …

returns for constituents of the S&P 500 index. We assess the implication for one-day ahead 95% and 99% Value-at-Risk (VaR …

-threshold double autoregressive models, a new hyperbolic GARCH model, intraday value-at-risk: an asymmetric autoregressive conditional …

first partial moment is also obtained, which plays a vital role in financial risk management. The proof involves a …-sample distribution of the 2SLS estimatorof a structural parameter. Second, the Value at Risk and Expected Shortfall of a … quadraticportfolio with heavy-tailed risk factors. …

with a duration-based POT method, and extreme market risk and extreme value theory. … 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 …