Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/87153
Authors: 
Chang, Chia-Lin
Allen, David E.
McAleer, Michael
Amaral, Teodosio Perez
Year of Publication: 
2013
Series/Report no.: 
Tinbergen Institute Discussion Paper 13-085/III
Abstract: 
The papers in this special issue of Mathematics and Computers in Simulation are substantially revised versions of the papers that were presented at the 2011 Madrid International Conference on “Risk Modelling and Management” (RMM2011). The papers cover the following topics: currency hedging strategies using dynamic multivariate GARCH, risk management of risk under the Basel Accord: A Bayesian approach to forecasting value-at-risk of VIX futures, fast clustering of GARCH processes via Gaussian mixture models, GFC-robust risk management under the Basel Accord using extreme value methodologies, volatility spillovers from the Chinese stock market to economic neighbours, a detailed comparison of Value-at-Risk estimates, the dynamics of BRICS's country risk ratings and domestic stock markets, U.S. stock market and oil price, forecasting value-at-risk with a duration-based POT method, and extreme market risk and extreme value theory.
Subjects: 
Currency hedging strategies
Basel Accord
risk management
forecasting
VIX futures
fast clustering
mixture models
extreme value methodologies
volatility spillovers
Value-at-Risk
country risk ratings
BRICS
extreme market risk
JEL: 
C14
C32
C53
C58
G11
G32
Persistent Identifier of the first edition: 
Document Type: 
Working Paper

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