hedging derivatives and coherent risk measures. There may exist portfolios (good deals) whose (return; risk) is as close as … selected pricing models satisfy the existence of risk neutral probabilities such that self- nancing price processes become … can build a new one with identical price, higher return and lower risk. Perhaps dynamic arbitrage free pricing models …

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 …

In this paper, we propose a flexible tool to estimate the risk sensitivity of a high-dimensional portfolio composed of … different classes of assets, especially in extreme risk circumstances. We build a so-called Cvine Risk Factors Model (CRFM …), which is a non-linear version of a risk factor model in a copula framework. Our tool allows us to decompose the risk of any …

The internal models amendment to the Basel Accord allows banks to use internal models to forecast Value-at-Risk (VaR … banks could be tempted to use models that underpredict risk, and hence lead to low capital charges. In order to avoid this … excessive violations, thereby suggesting the current penalty structure is not severe enough to control risk management. In …

Credit risk is the most important type of risk in terms of monetary value. Another key risk measure is market risk …. This paper is concerned with market risk management and monitoring under the Basel II Accord, and presents Ten Commandments … for optimizing Value-at-Risk (VaR) and daily capital charges, based on choosing wisely from: (1) conditional, stochastic …

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 …

When dealing with market risk under the Basel II Accord, variation pays in the form of lower capital requirements and … higher profits. Typically, GARCH type models are chosen to forecast Value-at-Risk (VaR) using a single risk model. In this …

The essence of investing is to generate return and manage risk. In the absence of arbitrage opportunities, return …