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Pitfalls and opportunities in the use of extreme value theory in risk management
Diebold, Francis X.; Schuermann, Til; Stroughair, John D. - 1998
Persistent link: https://www.econbiz.de/10000998135
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How relevant is volatility forecasting for financial risk management?
Christoffersen, Peter F.; Diebold, Francis X. - 1998
Persistent link: https://www.econbiz.de/10001350963
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On the network topology of variance decompositions : measuring the connectedness of financial firms
Diebold, Francis X.; Yılmaz, Kamil - In: Journal of econometrics 182 (2014) 1, pp. 119-134
Persistent link: https://www.econbiz.de/10010497110
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Financial risk measurement and management
Diebold, Francis X. - 2012
: Theory and Practice 1, Amsterdam, Holland, New York, NY and Oxford, UK: North-Holland Publishing Company, 203-26 -- Peter K … Edition, McGraw-Hill. -- Lando, D. (2004), Credit Risk Modeling: Theory and Applications, Princeton University Press …), "The Cost of Capital, Corporation Finance and the Theory of Investment," American Economic Review, 48, 261-297. -- Nelson …
Persistent link: https://www.econbiz.de/10011852322
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Horizon problems and extreme events in financial risk management
Christoffersen, Peter C.; Diebold, Francis X.; … - In: The Handbook of risk, (pp. 155-170). 2003
Persistent link: https://www.econbiz.de/10001739107
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Modeling liquidity risk, with implications for traditional market risk measurement and management
Bangia, Anil; Diebold, Francis X.; Schuermann, Til; … - In: Risk management : the state of the art, (pp. 3-13). 2002
Persistent link: https://www.econbiz.de/10001698270
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Financial risk measurement and management
Diebold, Francis X. (contributor) - 2012
Persistent link: https://www.econbiz.de/10009773251
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Chapter 17. Financial Risk Measurement for Financial Risk Management
Andersen, Torben G.; Bollerslev, Tim; Christoffersen, … - 2013
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 to produce more accurate risk assessments, treating...
Persistent link: https://www.econbiz.de/10014025361
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The known, the unknown, and the unknowable in financial risk management : measurement and theory advancing practice
Diebold, Francis X. (ed.); Doherty, Neil A. (contributor);  … - 2010
Persistent link: https://www.econbiz.de/10003887774
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The Known, the Unknown, and the Unknowable in Financial Risk Management : Measurement and Theory Advancing Practice
Diebold, Francis X. (contributor);  … - 2010
A clear understanding of what we know, don't know, and can't know should guide any reasonable approach to managing financial risk, yet the most widely used measure in finance today--Value at Risk, or VaR--reduces these risks to a single number, creating a false sense of security among risk...
Persistent link: https://www.econbiz.de/10014487815