TY  - UNPD
A1  - Andersen, Torben G.
A1  - Bollerslev, Tim
A1  - Christoffersen, Peter F.
A1  - Diebold, Francis X.
T1  - Practical volatility and correlation modeling for financial market risk management
T2  - Center for Financial Studies (Frankfurt am Main): CFS working paper series ; No. 2005,02
N2  - What do academics have to offer market risk management practitioners in financial institutions? Current industry practice largely follows one of two extremely restrictive approaches: historical simulation or RiskMetrics. In contrast, we favor flexible methods based on recent developments in financial econometrics, which are likely to produce more accurate assessments of market risk. Clearly, 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 parsimonious models that are easily estimated, and we discuss a variety of practical approaches for high-dimensional covariance matrix modeling, along with what we see as some of the pitfalls and problems in current practice. In so doing we hope to encourage further dialog between the academic and practitioner communities, hopefully stimulating the development of improved market risk management technologies that draw on the best of both worlds.
T3  - CFS working paper series - 2005, 02 
KW  - Risikomanagement
KW  - Portfolio-Management
KW  - ARCH-Modell
KW  - Schätzung
KW  - USA
Y1  - 2005
UR  - http://publikationen.ub.uni-frankfurt.de/frontdoor/index/index/docId/4419
UR  - https://nbn-resolving.org/urn:nbn:de:hebis:30-10786
IS  - January 11, 2005
ER  -