Financial Risk Measurement for Financial Risk Management

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Financial Risk Measurement for Financial Risk Management

Torben G. Andersen - Personal Name; Tim Bollerslev - Personal Name; Peter F. Christoffersen - Personal Name; Francis X. Diebold - Personal Name;

Financial risk management is a huge field with diverse and evolving components, as
evidenced by both its historical development (e.g. Diebold, 2012 ) and current best
practice (e.g. Stulz, 2002 ). One such component—probably the key component—is
risk measurement , in particular the measurement of financial asset-return volatilities and
correlations (henceforth “volatilities”). Crucially, asset-return volatilities are time varying,
with persistent dynamics. This is true across assets, asset classes, time periods, and
countries, as vividly brought to the fore during numerous crisis events, most recently
and prominently the 2007–2008 financial crisis and its long-lasting aftermath. The
field of financial econometrics devotes considerable attention to time-varying volatility
and associated tools for its measurement, modeling, and forecasting

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Series Title: Financial Risk Measurement for Financial Risk Management
Call Number: -
Publisher: : Elsevier Inc.., 2013
Collation: -
Language: English
ISBN/ISSN: -
Classification: NONE
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Edition: -
Subject(s): Risk management
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