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Risk Modeling and Management: An Overview

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  • Chia-Lin Chang
  • David E. Allen
  • Michael McAleer

    ()
    (University of Canterbury)

  • Teodosio Perez Amaral

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 Modeling 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.

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File URL: http://www.econ.canterbury.ac.nz/RePEc/cbt/econwp/1322.pdf
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Bibliographic Info

Paper provided by University of Canterbury, Department of Economics and Finance in its series Working Papers in Economics with number 13/22.

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Length: 10 pages
Date of creation: 26 Jun 2013
Date of revision:
Handle: RePEc:cbt:econwp:13/22

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Keywords: 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;

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  1. Jimenez-Martin, Juan-Angel & McAleer, Michael & Pérez-Amaral, Teodosio & Santos, Paulo Araújo, 2013. "GFC-robust risk management under the Basel Accord using extreme value methodologies," Mathematics and Computers in Simulation (MATCOM), Elsevier, vol. 94(C), pages 223-237.
  2. Roberto Casarin & Chia-Lin Chang & Juan-Ángel Jiménez-Martín & Michael McAleer & Teodosio Pérez Amaral, 2011. "Risk Management of Risk Under the Basel Accord: A Bayesian Approach to Forecasting Value-at-Risk of VIX Futures," Working Papers in Economics 11/26, University of Canterbury, Department of Economics and Finance.
  3. Chang, Chia-Lin & McAleer, Michael & Tansuchat, Roengchai, 2011. "Crude oil hedging strategies using dynamic multivariate GARCH," Energy Economics, Elsevier, vol. 33(5), pages 912-923, September.
  4. Michael McAleer & David Allen & Ron Amram, 2011. "Volatility Spillovers from the Chinese Stock Market to Economic Neighbours," KIER Working Papers 805, Kyoto University, Institute of Economic Research.
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