Current practice largely follows restrictive approaches to market risk measurement, such as historical simulation or … produce more accurate risk assessments, treating both portfolio-level and asset-level analysis. Asset-level analysis is … particularly challenging because the demands of real-world risk management in financial institutions—in particular, real-time risk …

Current practice largely follows restrictive approaches to market risk measurement, such as historical simulation or … produce more accurate risk assessments, treating both portfolio-level and asset-level analysis. Asset-level analysis is … particularly challenging because the demands of real-world risk management in financial institutions - in particular, real …

procedures for univariate volatility modeling and forecasting based on the GARCH, stochastic volatility and realized volatility …Volatility has been one of the most active and successful areas of research in time series econometrics and economic … empirical insights to emerge from this burgeoning literature, with a distinct focus on forecasting applications. Volatility is …

volatility models results in superior out-of-sample risk forecasts, compared to forecasts from existing models and more … volatilities. A utility-based framework designed to evaluate the economic gains from risk modeling highlights the interplay between … parsimony of model specification, transaction costs, and speed of trading in the practical implementation of the different risk …