their daily market risk estimates to the relevant national monetary authority at the beginning of each trading day, using … one of a variety of Value-at-Risk (VaR) models to measure risk. The purpose of this paper is to provide a simple … Basel II colours, understanding the risk model before choosing, varying the choice of risk model, avoiding the green zone …

. The purpose of this paper is to try to reduce the discomfort in dealing with investment advisers, and to make the journey … investment policies precisely, diversifying asset classes, choosing a consistent benchmark for investment policies, structuring … precisely the asset allocation process, defining risk and risk management procedures, monitoring the portfolio carefully …

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 …

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

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 …

management, whether the Basel Accord has improved risk management during the global financial crisis, the role of banking … regulation in an economy under credit risk and liquidity shock, separating informa-tion maximum likelihood estimation of the … integrated volatility and covariance with micro-market noise, stress testing correlation matrices for risk management, whether …

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 …