The Term structure of Risk, the Role of Known and Unknown Risks, and nonstationary Distributions

Long before the unprecedented collapse of the U.S. banking system that we have witnessed in the recent years, many people believed that there were grave risks facing our financial markets. These included the massive budget deficits, the balance payments deficits, the high cost of energy and many oth...

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Bibliographic Details
Published inThe Known, the Unknown, and the Unknowable in Financial Risk Management p. 59
Main Authors Riccardo Colacito, Robert F. Engle
Format Book Chapter
LanguageEnglish
Published United States Princeton University Press 19.04.2010
Subjects
Analytical forecasting
Analytics
Applied economics
Applied mathematics
Applied statistics
Asset allocation
Budgeting & financial management
Descriptive statistics
Economic disciplines
Economic modeling
Economic models
Economics
Finance
Financial economics
Financial investments
Financial management
Financial markets
Financial portfolios
Financial risk
Forecasting models
Investment risk
Investment strategies
Investors
Mathematics
Measures of variability
Predictive analytics
Risk assessment
Statistical variance
Statistics
Stock markets
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Summary:Long before the unprecedented collapse of the U.S. banking system that we have witnessed in the recent years, many people believed that there were grave risks facing our financial markets. These included the massive budget deficits, the balance payments deficits, the high cost of energy and many other raw materials, the uncertainty over Federal Reserve (FED) policy, war in Iraq that was going badly, global warming, and the extraordinary amount of U.S. debt that was and still is held by the Chinese government. In addition, there was a concern that the vast global derivatives market, the number of unregulated hedge
ISBN:0691128839
9780691128832