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- W2164827286 abstract "Current research on financial risk management applications of econometrics centres on the accurate assessment of individual market and credit risks with relatively little theoretical or applied econometric research on other types of risk, aggregation risk, data incompleteness and optimal risk control. We argue that consideration of the model risk arising from crude aggregation rules and inadequate data could lead to a new class of reduced form Bayesian risk assessment models. Logically, these models should be set within a common factor framework that allows proper risk aggregation methods to be developed. We explain how such a framework could also provide the essential links between risk control, risk assessments and the optimal allocation of resources." @default.
- W2164827286 created "2016-06-24" @default.
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- W2164827286 date "2004-01-01" @default.
- W2164827286 modified "2023-10-05" @default.
- W2164827286 title "The Present and Future of Financial Risk Management" @default.
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- W2164827286 doi "https://doi.org/10.2139/ssrn.478802" @default.
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