Abstract
Recently risk management has become a standard prerequisite for all financial institutions. Value-at-Risk is the main tool of reporting to the bank regulators the risk that the financial institutions face. As it is essential to estimate it accurately, numerous methods have been proposed in order to minimize the forecast error. This chapter provides a selective survey of the risk management techniques that have been applied and discusses potential improvements in estimating, evaluating and adjusting Value-at-Risk and Expected Shortfall.
| Original language | English |
|---|---|
| Title of host publication | New Econometric Modelling Research |
| Editors | W. Toggins |
| Place of Publication | New York |
| Publisher | Nova Science Publishers |
| Pages | 9-60 |
| Number of pages | 52 |
| ISBN (Print) | 1600215866 |
| Publication status | Published - 2008 |