13-085/III - Risk Modelling and Management: An Overview

• Authors
  Chia-Lin Chang, National Chung Hsing University, Taiwan; David E. Allen, Edith Cowan University, Australia; Michael McAleer, Erasmus University Rotterdam, Complutense University of Madrid, Spain, and Kyoto University; Teodosio Perez Amaral, Complutense University of Madrid, Spain
• Publication date
  June 25, 2013

• Keywords
  Currency hedging strategies, Basel Accord, risk management, forecasting, VIX futures, fast clustering, mixture models, extreme value methodologies, volatility spillovers, Value-at-Risk, country risk ratings, BRICS, extreme market risk
• JEL
  C14, C32, C53, C58, G11, G32