daily risk forecasts to the appropriate monetary authorities at the beginning of each trading day, using one of a range of … alternative risk models to forecast Value-at-Risk (VaR). The risk estimates from these models are used to determine the daily … realized losses exceed the estimated VaR. In this paper we define risk management in terms of choosing sensibly from a variety …

source of international tourism. In order to understand the risk persistence of Chinese tourists, the paper investigates the …. The mean equations associated with GARCH(1,1), GJR(1,1) and EGARCH(1,1) are used to analyse the risk persistence of the …

commodities and biofuel helps commodity suppliers hedge their portfolios, and manage the risk and co-risk of their biofuel and … should be considered as viable futures products in financial portfolios for risk management. …

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 …

Volatility is an indispensible component of sensible portfolio risk management. The volatility of an asset of composite …, and hence is not model based. Speculators can trade on volatility risk with VIX derivatives, with views on whether … risk. VIX and its options and futures derivatives has been widely analysed in recent years. An alternative volatility …

Modelling, monitoring and forecasting volatility are indispensible to sensible portfolio risk management. The … put options over a wide range of strike prices, and hence is not model based. Speculators can trade on volatility risk … volatility derivatives to avoid exposure to volatility risk. VIX and its options and futures derivatives has been widely analysed …

Modelling, monitoring and forecasting volatility are indispensible to sensible portfolio risk management. The … put options over a wide range of strike prices, and hence is not model based. Speculators can trade on volatility risk … volatility derivatives to avoid exposure to volatility risk. VIX and its options and futures derivatives has been widely analysed …

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 …

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 …

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 …