| 来源类型 | Working Paper |
| 规范类型 | 报告 |
| DOI | 10.3386/w11069 |
| 来源ID | Working Paper 11069 |
| Practical Volatility and Correlation Modeling for Financial Market Risk Management | |
| Torben G. Andersen; Tim Bollerslev; Peter F. Christoffersen; Francis X. Diebold | |
| 发表日期 | 2005-01-24 |
| 出版年 | 2005 |
| 语种 | 英语 |
| 摘要 | What do academics have to offer market risk management practitioners in financial institutions? Current industry practice largely follows one of two extremely restrictive approaches: historical simulation or RiskMetrics. In contrast, we favor flexible methods based on recent developments in financial econometrics, which are likely to produce more accurate assessments of market risk. Clearly, 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 parsimonious models that are easily estimated, and we discuss a variety of practical approaches for high-dimensional covariance matrix modeling, along with what we see as some of the pitfalls and problems in current practice. In so doing we hope to encourage further dialog between the academic and practitioner communities, hopefully stimulating the development of improved market risk management technologies that draw on the best of both worlds. |
| 主题 | Financial Economics ; Financial Markets |
| URL | https://www.nber.org/papers/w11069 |
| 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/568704 |
| 推荐引用方式 GB/T 7714 | Torben G. Andersen,Tim Bollerslev,Peter F. Christoffersen,et al. Practical Volatility and Correlation Modeling for Financial Market Risk Management. 2005. |
| 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 | ||
| w11069.pdf（517KB） | 智库出版物 | 限制开放 | CC BY-NC-SA | 浏览 | ||
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