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 …

-Gaussian scaling and infinite-state switching volatility, stock return and cash flow predictability: the role of volatility risk, the … long and the short of the risk-return trade-off, Whatś beneath the surface? option pricing with multifrequency latent … dynamics in commodity spot and futures markets, a stochastic dominance approach to financial risk management strategies …

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 …

The Basel Committee on Banking Supervision (BCBS) (2013) recently proposed shifting the quantitative risk metrics … system from Value-at-Risk (VaR) to Expected Shortfall (ES). The BCBS (2013) noted that "a number of weaknesses have been … identified with using VaR for determining regulatory capital requirements, including its inability to capture tail risk" (p. 3 …

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 …