Elements of Financial Risk Management

By Peter F. Christoffersen. 2003

498 citations recorded by the source corpus.

View Paper: https://www.semanticscholar.org/paper/d925414cb11479b84abe08660866a42b7165bb56

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Citations in the corpus

VOLATILITY AND CORRELATION FORECASTING (2006, methodology): “…toolbox discussed in econometrics and empirical oriented finance textbooks; see, e.g., Hamilton (1994), Mills (1993), Franses and van Dijk (2000), Gouriéroux and Jasiak (2001), Alexander (2001), Brooks (2002), Chan (2002), Tsay (2002), Christoffersen (2003), Enders (2004), and Taylor (2004).”
Elicitability and backtesting: Perspectives for banking regulation (2016, background): “[2006] (see also Christoffersen [1998], Engle and Manganelli [2004]) has similarities to a conditional calibration test.”
The Level and Quality of Value-at-Risk Disclosure by Commercial Banks (2010, unknown): “This method is a flexible, non-parametric technique that forecasts future potential price changes using actual shocks on state variables that occurred in the past (Christoffersen, 2003, pages 100-103, and Jorion, 2006, pages 262-265). The recent popularity of Historical Simulation at commercial bank”
Value-at-Risk Prediction: A Comparison of Alternative Strategies (2005, background): “A comprehensive overview of the subject is provided by Embrechts, Klüppelberg, and Mikosch (1997), while Christoffersen (2003) gives a highly accessible and streamlined account.”
Stochastic volatility forecasting and risk management (2005, methodology): “Recent developments in risk management and financial engineering have highlighted the use of value at risk (VaR) as a popular approach to measuring market risk on a daily basis (JP Morgan, 1996; Jorion, 1997; Alexander, 2001; Brooks and Persand, 2002, 2003; Christoffersen, 2003; Partnoy, 2003).”
Properties and Estimation of Asymmetric Exponential Power Distribution (2007, background): “…e¤ect) are not normally distributed the QQ plot of ex post innovations typically shows that the t in the upper tail is good but the lower tail is heavier than that of the normal distribution (see Figure 6 of Bradley and Taqqu (2003) for NASDAQ, Figure 4.2 of Christo¤ersen (2003) for S&P500 ).”
COHERENCE AND ELICITABILITY (2013, methodology): “In the literature, there are procedures for evaluating ES forecasts and that allow for tests; see for example, McNeil and Frey (2000) and Christoffersen (2003).”
Glossary to ARCH (GARCH) (2008, background): “Rob Engle’s seminal Nobel Prize winning 1982 Econometrica article on the AutoRegressive Conditional Heteroskedastic (ARCH) class of models spurred a virtual “arms race” into the development of new and better procedures for modeling and forecasting time-varying financial market volatility. Some of th”
Robust Value at Risk Prediction (2007, unknown): “To assess the forecasting performance of the different VaR prediction methods we adopt the testing framework proposed by Christoffersen (1998).”
Making and Evaluating Point Forecasts (2009, background): “Christoffersen (2003) suggests a way of evaluating CVaR forecasts that depends on external covariates and allows for tests, but not for a direct comparison and ranking of the predictive performance of competing forecasting methods.”
Frontiers in VaR forecasting and backtesting (2016, background): “…in the literature; see Kuester et al. (2006), Christoffersen (2009), Gourieroux and Jasiak (2010a) and Chen and Lu (2012) for previous surveys and Embrechts et al. (2000), Dowd (2007), McNeil et al. (2005), Jorion (2006), Danielsson (2011) and Christoffersen (2012) for comprehensive textbooks.”
Longevity Bond Premiums: The Extreme Value Approach and Risk Cubic Pricing (2010, unknown): “There is no theoretical approach with a satisfactory performance suitable for this purpose (Christoffersen, 2003).”
Value–at–Risk Models (2009, unknown): “As discussed in Christoffersen (2003) , these models can be estimated relatively easily using a variant of the likelihood function in (3) or by matching moments of zt with model moments.”
The Known, the Unknown, and the Unknowable in Financial Risk Management (2010, background): “) Indeed the existing risk management literature focuses almost exclusively on K, as summarized for example in the well known texts of Jorion (1997), Doherty (2000) and Christoffersen (2003) and emphasized in the Basel II capital adequacy framework, which employs probabilistic value-at-risk methods ”