Term Structure of Risk, the Role of Known and Unknown Risks and Non-Stationary Distributions

In this paper we document the presence of a term structure of risk and we propose how to measure it using alternative models to forecast volatility and the Value at Risk at different horizons. We then quantify the benefits of an investor that is aware of the existence of a term structure of risk in the context of an asset allocation exercise

MoreLess

Year of publication:	2012
Authors:	Colacito, Ric ; Engle, Robert F.
Publisher:	[S.l.] : SSRN
Subject:	Risiko \| Risk \| Theorie \| Theory \| Zinsstruktur \| Yield curve \| Risikomanagement \| Risk management

freely available

Full text |

More access options

Check Google Scholar

In German libraries (KVK)

I need help

Extent:	1 Online-Ressource (25 p)
Type of publication:	Book / Working Paper
Language:	English
Notes:	In: THE KNOWN, THE UNKNOWN AND THE UNKNOWABLE IN FINANCIAL RISK MANAGEMENT, F.X. Diebold, ed Nach Informationen von SSRN wurde die ursprüngliche Fassung des Dokuments March 15, 2007 erstellt
Source:	ECONIS - Online Catalogue of the ZBW

Persistent link: https://www.econbiz.de/10014047226