Strategic long-term financial risks: Single risk factors

被引：58

作者：

Embrechts, P ^{[1
]}

Kaufmann, R ^{[1
]}

Patie, P ^{[1
]}

机构：

[1] ETH, Dept Math, CH-8092 Zurich, Switzerland

来源：

COMPUTATIONAL OPTIMIZATION AND APPLICATIONS | 2005年 / 32卷 / 1-2期

关键词：

expected shortfall; value-at-risk; scaling rules; random walk; autoregressive model; GARCH process; extreme value theory;

D O I：

10.1007/s10589-005-2054-7

中图分类号：

C93 [管理学]; O22 [运筹学];

学科分类号：

070105 ; 12 ; 1201 ; 1202 ; 120202 ;

摘要：

The question of the measurement of strategic long-term financial risks is of considerable importance. Existing modelling instruments allow for a good measurement of market risks of trading books over relatively small time intervals. However, these approaches may have severe deficiencies if they are routinely applied to longer time periods. In this paper we give an overview on methodologies that can be used to model the evolution of risk factors over a one-year horizon. Different models are tested on financial time series data by performing backtesting on their expected shortfall predictions.

引用

页码：61 / 90

页数：30

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