Current practice largely follows restrictive approaches to market risk measurement, such as historical simulation or … produce more accurate risk assessments, treating both portfolio-level and asset-level analysis. Asset-level analysis is … particularly challenging because the demands of real-world risk management in financial institutions - in particular, real …

What do academics have to offer market risk management practitioners in financial institutions? Current industry … assessments of market risk. Clearly, the demands of real-world risk management in financial institutions -- in particular, real …-time risk tracking in very high-dimensional situations -- impose strict limits on model complexity. Hence we stress parsimonious …

and forecasting. Building on the theory of continuous-time arbitrage-free price processes and the theory of quadratic … the large covariance matrices relevant in asset pricing, asset allocation and financial risk management applications …

hold promise for the development of better decision making in practical situations of risk management, portfolio allocation …