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Financial Risk Measurement and Management

Editor

Listed:
  • Francis X. Diebold

Abstract

This authoritative volume charts the origins, development, and current frontiers of financial risk management. It emphasizes the role for risk management created by real-world market imperfections, and progresses to consider stochastic financial modeling, the failure of ‘normality’, and time-varying volatility.

Suggested Citation

  • Francis X. Diebold (ed.), 2012. "Financial Risk Measurement and Management," Books, Edward Elgar Publishing, number 14102.
    • Handle: RePEc:elg:eebook:14102
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    File URL: http://www.e-elgar.com/shop/isbn/9781849803908
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    Citations

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    Cited by:

    1. Serena Ng & Jonathan H. Wright, 2013. "Facts and Challenges from the Great Recession for Forecasting and Macroeconomic Modeling," Journal of Economic Literature, American Economic Association, vol. 51(4), pages 1120-1154, December.
    2. Kyle Jurado & Sydney C. Ludvigson & Serena Ng, 2015. "Measuring Uncertainty," American Economic Review, American Economic Association, vol. 105(3), pages 1177-1216, March.
    3. Andersen, Torben G. & Bollerslev, Tim & Christoffersen, Peter F. & Diebold, Francis X., 2013. "Financial Risk Measurement for Financial Risk Management," Handbook of the Economics of Finance, in: G.M. Constantinides & M. Harris & R. M. Stulz (ed.), Handbook of the Economics of Finance, volume 2, chapter 0, pages 1127-1220, Elsevier.
    4. Olkhov, Victor, 2018. "The Business Cycle Model Beyond General Equilibrium," MPRA Paper 87204, University Library of Munich, Germany.
    5. F. Lilla, 2016. "High Frequency vs. Daily Resolution: the Economic Value of Forecasting Volatility Models," Working Papers wp1084, Dipartimento Scienze Economiche, Universita' di Bologna.
    6. Olkhov, Victor, 2018. "Economic and Financial Transactions Govern Business Cycles," MPRA Paper 93269, University Library of Munich, Germany.
    7. Victor Olkhov, 2018. "Econophysics Beyond General Equilibrium: the Business Cycle Model," Papers 1804.04721, arXiv.org.
    8. Victor Olkhov, 2020. "Business Cycles as Collective Risk Fluctuations," Papers 2012.04506, arXiv.org.
    9. Olkhov, Victor, 2018. "Economic Transactions Govern Business Cycles," MPRA Paper 87207, University Library of Munich, Germany.
    10. F. Lilla, 2017. "High Frequency vs. Daily Resolution: the Economic Value of Forecasting Volatility Models - 2nd ed," Working Papers wp1099, Dipartimento Scienze Economiche, Universita' di Bologna.
    11. Massacci, Daniele, 2014. "A two-regime threshold model with conditional skewed Student t distributions for stock returns," Economic Modelling, Elsevier, vol. 43(C), pages 9-20.
    12. Victor Olkhov, 2018. "How Macro Transactions Describe the Evolution and Fluctuation of Financial Variables," IJFS, MDPI, vol. 6(2), pages 1-19, March.
    13. Dias, Alexandra, 2013. "Market capitalization and Value-at-Risk," Journal of Banking & Finance, Elsevier, vol. 37(12), pages 5248-5260.
    14. Olkhov, Victor, 2021. "To VaR, or Not to VaR, That is the Question," MPRA Paper 105458, University Library of Munich, Germany.
    15. BALTES Nicolae & DRAGOE Alexandra-Gabriela-Maria, 2017. "Estimating The Return Of The Financial Titles Of The Companies From The Manufacturing Industry, Listed On The Bucharest Stock Exchange," Revista Economica, Lucian Blaga University of Sibiu, Faculty of Economic Sciences, vol. 69(3), pages 19-28, August.
    16. Francis X. Diebold, 2012. "A Personal Perspective on the Origin(s) and Development of “Big Data": The Phenomenon, the Term, and the Discipline, Second Version," PIER Working Paper Archive 13-003, Penn Institute for Economic Research, Department of Economics, University of Pennsylvania, revised 26 Nov 2012.

    More about this item

    Keywords

    Economics and Finance;

    JEL classification:

    • G0 - Financial Economics - - General

    Statistics

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