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 … practice largely follows one of two extremely restrictive approaches: historical simulation or RiskMetrics. In contrast, we … assessments of market risk. Clearly, the demands of real-world risk management in financial institutions -- in particular, real …

It depends. If volatility fluctuates in a forecastable way, then volatility forecasts are useful for risk management …; hence the interest in volatility forecastability in the risk management literature. Volatility forecastability, however … volatility forecastability decays quickly with horizon. Volatility forecastability, although clearly of relevance for risk …