Scaling conditional tail probability and quantile estimators

A key issue for risk management is to decide the relevant horizon associated with risk measurement. Many different horizons may be relevant, from short (for example, daily) to long (for example, monthly) time frames, and a risk manager must be able to provide measures across a range of horizons.1 This article measures risk at different horizons using volatility forecasts at high frequency as inputs that are then scaled for longer horizons.

[image] - Scaling conditional tail probability and

To continue reading...

You need to sign in to use this feature. If you don’t have a Risk.net account, please register for a trial.

Sign in
You are currently on corporate access.

To use this feature you will need an individual account. If you have one already please sign in.

Sign in.

Alternatively you can request an indvidual account here: