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- W2160606523 endingPage "1220" @default.
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- W2160606523 abstract "Current practice largely follows restrictive approaches to market risk measurement, such as historical simulation or RiskMetrics. In contrast, we propose flexible methods that exploit recent developments in financial econometrics and are likely to produce more accurate risk assessments, treating both portfolio-level and asset-level analysis. Asset-level analysis is particularly challenging because 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 powerful yet parsimonious models that are easily estimated. In addition, we emphasize the need for deeper understanding of the links between market risk and macroeconomic fundamentals, focusing primarily on links among equity return volatilities, real growth, and real growth volatilities. Throughout, we strive not only to deepen our scientific understanding of market risk, but also cross-fertilize the academic and practitioner communities, promoting improved market risk measurement technologies that draw on the best of both." @default.
- W2160606523 created "2016-06-24" @default.
- W2160606523 creator A5015011907 @default.
- W2160606523 creator A5025032749 @default.
- W2160606523 creator A5054326143 @default.
- W2160606523 creator A5084412348 @default.
- W2160606523 date "2013-01-01" @default.
- W2160606523 modified "2023-10-14" @default.
- W2160606523 title "Financial Risk Measurement for Financial Risk Management" @default.
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