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Chapter 17. Financial Risk Measurement for Financial Risk Management
Andersen, Torben G.; Bollerslev, Tim; Christoffersen, … - 2013
Current practice largely follows restrictive approaches to market risk measurement, such as historical simulation or … cross-fertilize the academic and practitioner communities, promoting improved market risk measurement technologies that draw … produce more accurate risk assessments, treating both portfolio-level and asset-level analysis. Asset-level analysis is …
Persistent link: https://www.econbiz.de/10014025361
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Financial Risk Measurement for Financial Risk Management
Andersen, Torben G. - 2012
Current practice largely follows restrictive approaches to market risk measurement, such as historical simulation or … cross-fertilize the academic and practitioner communities, promoting improved market risk measurement technologies that draw … produce more accurate risk assessments, treating both portfolio-level and asset-level analysis. Asset-level analysis is …
Persistent link: https://www.econbiz.de/10013106309
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Financial Risk Measurement for Financial Risk Management
Andersen, Torben G. - 2012
Current practice largely follows restrictive approaches to market risk measurement, such as historical simulation or … cross-fertilize the academic and practitioner communities, promoting improved market risk measurement technologies that draw … produce more accurate risk assessments, treating both portfolio-level and asset-level analysis. Asset-level analysis is …
Persistent link: https://www.econbiz.de/10012460575
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Financial risk measurement for financial risk management
Andersen, Torben; Bollerslev, Tim; Christoffersen, Peter F. - 2012
Persistent link: https://www.econbiz.de/10009553634
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Financial risk measurement for financial risk management
Andersen, Torben; Bollerslev, Tim; Christoffersen, Peter F. - 2013
Persistent link: https://www.econbiz.de/10009696029
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Financial risk measurement for financial risk management
Andersen, Torben; Bollerslev, Tim; Christoffersen, Peter F. - 2011
Persistent link: https://www.econbiz.de/10009389307
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Realized beta: Persistence and predictability
Andersen, Torben G.; Bollerslev, Tim; Diebold, Francis X.; … - 2004
A large literature over several decades reveals both extensive concern with the question of time-varying betas and an emerging consensus that betas are in fact time-varying, leading to the prominence of the conditional CAPM. Set against that background, we assess the dynamics in realized betas,...
Persistent link: https://www.econbiz.de/10010298288
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Some Like it Smooth, and Some Like it Rough: Untangling Continuous and Jump Components in Measuring, Modeling, and Forecasting Asset Return Volatility
Andersen, Torben G.; Bollerslev, Tim; Francis X. Diebold - 2003
A rapidly growing literature has documented important improvements in volatility measurement and forecasting … allocation, risk management, and derivatives pricing, by separate modeling, forecasting and pricing of the continuous and jump …
Persistent link: https://www.econbiz.de/10010311998
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Continuous-time models, realized volatilities, and testable distributional implications for daily stock returns
Andersen, Torben G.; Bollerslev, Tim; Frederiksen, Per; … - 2008
We provide an empirical framework for assessing the distributional properties of daily speculative returns within the context of the continuous-time jump diffusion models traditionally used in asset pricing finance. Our approach builds directly on recently developed realized variation measures...
Persistent link: https://www.econbiz.de/10010290422
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Continuous-time models, realized volatilities, and testable distributional implications for daily stock returns
Andersen, Torben; Bollerslev, Tim; Frederiksen, Per; … - 2008
We provide an empirical framework for assessing the distributional properties of daily speculative returns within the context of the continuous-time jump diffusion models traditionally used in asset pricing finance. Our approach builds directly on recently developed realized variation measures...
Persistent link: https://www.econbiz.de/10003742083