Title

Risk modelling and management: An overview

Document Type

Journal Article

Publisher

Elsevier

Faculty

Faculty of Business and Law

School

School of Business

RAS ID

17459

Comments

This article was originally published as: Chang, C. L., Allen, D. E., McAleer, M., & Perez Amaral, T. (2013). Risk modelling and management: An overview. Mathematics and Computers in Simulation, 94, 159-163. Original article available here

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.

DOI

10.1016/j.matcom.2013.08.001

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