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 …

management, whether the Basel Accord has improved risk management during the global financial crisis, the role of banking … regulation in an economy under credit risk and liquidity shock, separating informa-tion maximum likelihood estimation of the … integrated volatility and covariance with micro-market noise, stress testing correlation matrices for risk management, whether …

explores the corresponding risk management implications for market risk and hedging. Value-at-Risk (VaR) is used to analyze the … downside market risk associated with investments in precious metals, and to design optimal risk management strategies. We …-parametric Filtered Historical Simulation approach. Different risk management strategies are suggested, and the best approach for …

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 …

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 …

explores the corresponding risk management implications for market risk and hedging. Value-at-Risk (VaR) is used to analyze the … downside market risk associated with investments in precious metals, and to design optimal risk management strategies. We …-parametric Filtered Historical Simulation approach. Different risk management strategies are suggested, and the best approach for …

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 …

explores the corresponding risk management implications for market risk and hedging. Value-at-Risk (VaR) is used to analyze the … downside market risk associated with investments in precious metals, and to design optimal risk management strategies. We …

explores the corresponding risk management implications for market risk and hedging. Value-at-Risk (VaR) is used to analyze the … downside market risk associated with investments in precious metals, and to design optimal risk management strategies. We …