Evaluating the RiskMetrics methodology in measuring volatility and Value-at-Risk in financial markets

Physica A: Statistical Mechanics and its Applications

Volumn 299, Issue 1-2, 2001, Pages 305-310

  Pafka, Szilárd ^a   Kondor, Imre ^a,b  

^a EÖTVÖS LORÁND UNIVERSITY   (Hungary)

^b Raiffeisen Bank   (Hungary)

Author keywords

Market risk; Risk measurement; RiskMetrics; Value at Risk; Volatility

Indexed keywords

FORECASTING; FUNCTION EVALUATION; INDUSTRIAL ECONOMICS; MARKETING; RISK MANAGEMENT;

FINANCIAL MARKETS; RISKMETRICES;

FINANCE;

EID: 0035471435     PISSN: 03784371     EISSN: None     Source Type: Journal    
DOI: 10.1016/S0378-4371(01)00310-7     Document Type: Conference Paper

References (13)

1. Evaluating the use of RiskMetrics as a risk measurement tool for your operation: What are its advantages and limitations?
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5. A general approach to calculating VaR without volatilities and correlations
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7. ARCH models
8. Analytic approach to the problem of convergence of truncated lévy flights towards the Gaussian stochastic process