parametric complexity theory and analyse its impact in financial risk management. It is shown that selected real-world problems … in risk managements are complex in the sense of NP-completeness. Here the criterion is used to analyse the structural … reasons for the proved complexity. We show how selected risk management methods fit into the picture of our complexity …

risk management and various forms of structured finance. It explores the constraints that these entities face in using … modern financial markets, including counterparty and sovereign risk obstacles, and problems in their legal and regulatory …

-moment information"); estimates of risk profiles ("risk information"); and measures of the uncertainty surrounding both kinds of estimate … focused on micro information and, within it, on estimates of the current financial condition; by contrast, risk information …

takes a holistic view of the problem and determines the optimal asset allocation as well as risk hedging decisions by means … investigate the performance of alternative risk management strategies. Through extensive computational experiments, both in static … alternative hedging strategies – including options – to control the main risk exposures, (c) the relative performance of …

This paper investigates a simple risk management problem where an investor is forced to hold a risky asset and then …

an investor receive in return for bearing that extra risk? I find that one such put option will cause the distribution to …

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 …

Estimating and assessing the risk of a large portfolio is an important topic in financial econometrics and risk … management. The risk is often estimated by a substitution of a good estimator of the volatility matrix. However, the accuracy of … such a risk estimator for large portfolios is largely unknown, and a simple inequality in the previous literature gives an …