Forecasting value-at-risk
Alvin Stroyny and Tim Wilding build a dynamic risk framework for multi-asset global portfolios
CLICK HERE TO VIEW THE PDF
Building a dynamic forecast of the risk of a global, multi-asset portfolio often requires choosing between a comprehensive but possibly complex model and a simple but approximated one. Alvin Stroyny and Tim Wilding present a risk model that incorporates aspects of both approaches to build a value-at-risk forecasting tool
Building a model of the behaviour of global asset returns presents many complex issues that often challenge the specific underlying assumptions
Only users who have a paid subscription or are part of a corporate subscription are able to print or copy content.
To access these options, along with all other subscription benefits, please contact [email protected] or view our subscription options here: http://subscriptions.risk.net/subscribe
You are currently unable to print this content. Please contact [email protected] to find out more.
You are currently unable to copy this content. Please contact [email protected] to find out more.
Copyright Infopro Digital Limited. All rights reserved.
You may share this content using our article tools. Printing this content is for the sole use of the Authorised User (named subscriber), as outlined in our terms and conditions - https://www.infopro-insight.com/terms-conditions/insight-subscriptions/
If you would like to purchase additional rights please email [email protected]
Copyright Infopro Digital Limited. All rights reserved.
You may share this content using our article tools. Copying this content is for the sole use of the Authorised User (named subscriber), as outlined in our terms and conditions - https://www.infopro-insight.com/terms-conditions/insight-subscriptions/
If you would like to purchase additional rights please email [email protected]
More on Investments
7 days in 60 seconds
Covid capital, SA-CCR and problems with post-Libor protocol
The week on Risk.net, July 4-10, 2020
Receive this by email