| 来源类型 | Working Paper |
| 规范类型 | 报告 |
| DOI | 10.3386/w18084 |
| 来源ID | Working Paper 18084 |
| Financial Risk Measurement for Financial Risk Management | |
| Torben G. Andersen; Tim Bollerslev; Peter F. Christoffersen; Francis X. Diebold | |
| 发表日期 | 2012-05-17 |
| 出版年 | 2012 |
| 语种 | 英语 |
| 摘要 | Current practice largely follows restrictive approaches to market risk measurement, such as historical simulation or RiskMetrics. In contrast, we propose flexible methods that exploit recent developments in financial econometrics and are likely to produce more accurate risk assessments, treating both portfolio-level and asset-level analysis. Asset-level analysis is particularly challenging because the demands of real-world risk management in financial institutions - in particular, real-time risk tracking in very high-dimensional situations - impose strict limits on model complexity. Hence we stress powerful yet parsimonious models that are easily estimated. In addition, we emphasize the need for deeper understanding of the links between market risk and macroeconomic fundamentals, focusing primarily on links among equity return volatilities, real growth, and real growth volatilities. Throughout, we strive not only to deepen our scientific understanding of market risk, but also cross-fertilize the academic and practitioner communities, promoting improved market risk measurement technologies that draw on the best of both. |
| 主题 | Econometrics ; Estimation Methods ; Financial Economics ; Financial Markets |
| URL | https://www.nber.org/papers/w18084 |
| 来源智库 | National Bureau of Economic Research (United States) |
| 引用统计 | |
| 资源类型 | 智库出版物 |
| 条目标识符 | http://119.78.100.153/handle/2XGU8XDN/575760 |
| 推荐引用方式 GB/T 7714 | Torben G. Andersen,Tim Bollerslev,Peter F. Christoffersen,et al. Financial Risk Measurement for Financial Risk Management. 2012. |
| 条目包含的文件 | ||||||
| 文件名称/大小 | 资源类型 | 版本类型 | 开放类型 | 使用许可 | ||
| w18084.pdf（918KB） | 智库出版物 | 限制开放 | CC BY-NC-SA | 浏览 | ||
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