

Forecasting value-at-risk
Alvin Stroyny and Tim Wilding build a dynamic risk framework for multi-asset global portfolios
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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
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