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Handbook of the Economics of Finance by Rene M. Stulz, Milton Harris, George M. Constantinides

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Chapter 17

Financial Risk Measurement for Financial Risk Management*

Torben G. Andersena1, Tim Bollerslevb2, Peter F. Christoffersenc3 and Francis X. Dieboldd4

aKellogg School of Management, Northwestern University, Evanston, IL 60208, USA

bDepartment of Economics, Duke University, Durham, NC 27708, USA

cRotman School of Management, University of Toronto, Ontario, Canada M5S 3E6

dDepartment of Economics, University of Pennsylvania, Philadelphia, PA 19104, USA, t-andersen@kellogg.northwestern.edu

Abstract

Current practice largely follows restrictive approaches to market risk measurement, such as historical simulation or RiskMetrics. In contrast, we propose flexible methods that exploit recent developments in financial econometrics and are likely ...

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