We present a set of log-price integrated variance estimators, equal to the sum of open-high-low-close bridge estimators of spot variances within n subsequent time-step intervals. The main purpose of some...
The passage of the Dodd-Frank Act in the US is putting pressure on institutions to accurately assess their risk exposure across the enterprise. This includes the ability to access all of the relevant data...
Insurance Risk and BNY Mellon have conducted a survey to look at how insurance companies are preparing for the new regime and the opportunities and challenges that the changes will bring.
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This paper discusses a number of diverse considerations that risk managers need to incorporate into their thought processes and recurring procedures if they are to fulfill their role more effectively in the future