Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/25447
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dc.contributor.authorAndersen, Torben G.en_US
dc.contributor.authorBollerslev, Timen_US
dc.contributor.authorChristoffersen, Peter F.en_US
dc.contributor.authorDiebold, Francis X.en_US
dc.date.accessioned2006-08-03en_US
dc.date.accessioned2009-07-24T13:47:32Z-
dc.date.available2009-07-24T13:47:32Z-
dc.date.issued2005en_US
dc.identifier.piurn:nbn:de:hebis:30-10786-
dc.identifier.urihttp://hdl.handle.net/10419/25447-
dc.description.abstractWhat 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.en_US
dc.language.isoengen_US
dc.publisher|aGoethe University, Center for Financial Studies (CFS) |cFrankfurt a. M.en_US
dc.relation.ispartofseries|aCFS Working Paper |x2005/02en_US
dc.subject.jelG10en_US
dc.subject.ddc330en_US
dc.subject.stwRisikomanagementen_US
dc.subject.stwPortfolio-Managementen_US
dc.subject.stwARCH-Modellen_US
dc.subject.stwSchätzungen_US
dc.subject.stwUSAen_US
dc.titlePractical volatility and correlation modeling for financial market risk managementen_US
dc.type|aWorking Paperen_US
dc.identifier.ppn515219037en_US
dc.rightshttp://www.econstor.eu/dspace/Nutzungsbedingungen-
dc.identifier.repecRePEc:zbw:cfswop:200502-

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