In this chapter I argue that as a response to the introduction of capital requirements in the form of risk weights … that the new optimum has a lower risk. The effect of the regulation depends on several things, most importantly the … correlation between individual investments, investor preferences and the relative size of risk weights. …

ermöglicht die Anwendung von Copulas in zahlreichen Bereichen der Finanzwirtschaft, vom Risikomanagement über die Bewertung von …

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 …

This eBook covers the more relevant subjects in international finance and risk managment from an emerging markets … market operations, the use of derivatives such us futures and options as tools of risk management and a discussion on 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 …

Risk management is crucial for optimal portfolio management. One of the fastest growing areas in empirical finance is … the expansion of financial deriva-tives. The purpose of this special issue on “Risk Management and Financial Deriva … contributed significantly to the analysis of risk management, with an emphasis on financial derivatives, specifically conditional …

papers that were presented at the 2011 Madrid International Conference on “Risk Modeling 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 …

) parameters indicate the necessity of applying market risk estimation methods, i.e. extreme value theory (EVT) in the framework of …