We define risk spillover as the dependence of a given asset variance on the past covariances and variances of other … assets. Building on this idea, we propose the use of a highly flexible and tractable model to forecast the volatility of an … international equity portfolio. According to the risk management strategy proposed, portfolio risk is seen as a specific combination …

simulation procedures must be made. As an example, FX volatility adjustment for risk factors simulation is considered. The impact …This paper discusses a class of methodological issues that frequently arise in the risk management systems such as PFE … deficiencies and disconnect between the calibration and the simulation modules, a number of adjustments to the risk factor …