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 …

improved risk management during the global financial crisis, the role of banking regulation in an economy under credit risk and …-market noise, stress testing correlation matrices for risk management, whether bank relationship matters for corporate risk taking … illustrations, EVT and tail-risk modelling, with evidence from market indices and volatility series, the economics of data using …

risk of thestrategies increases proportionally. Second, we test whether the strategies can be implementedsuccessfully in …, we examine several popularexplanations for the excess returns. We find no evidence of higher market risk or lower …

categories, as compiled by the EDHEC Risk Institute. The 17-year period runs from the beginning of 1997 to the end of August 2014 …

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 …

risky asset portfolios. We show, however, that this positive relationship between risk taking and retirement flexibility is … considered. Productivity risk in combination with a high elasticity of substitution between consumption and leisure creates a … positive correlation between asset returns and labour income, reducing the willingness of consumers to bear risk. Moreover, it …