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Mar 1

2011 Risk Manager of the Year Week in Review 010312

Posted by abiao at 11:55 | Review | Comments(2) | Reads(6211)
LABORSTA Internet: View and download data for over 200 countries or territories from LABORSTA, an International Labour Office database on labour statistics operated by the ILO Department of Statistics, excellent!

Estimating the Value-at-Risk: A Comparative Study of the Extreme Value Theory and Transformed Kernel Density Approach: peak-over-threshold (POT) method outperforms the transformed kernel density and the generalized extreme value block-maxima approaches to estimate Value-at-Risk.

Volatility timing and portfolio selection: How best to forecast volatility: the frequency of data used to construct volatility estimates, and the loss function used to estimate the parameters of a volatility model.

Interview: Donald R. van Deventer Risk Management: interview Donald, the Chairman and Chief Executive Officer of Kamakura Corporation, one of the 50 members RISK Magazine Hall of Fame in 2002.

The "Out of Sample" Performance of Long-run Risk Models: This paper studies the ability of long-run risk models to explain out-of-sample asset returns during 1931-2009.

GARP, 2011 Risk Manager of the Year Awarded to Aaron Brown: the 2011 Risk Manager of the Year Award to Aaron Brown, Head of Risk Management at AQR Capital Management, author of the book Red-Blooded Risk: The Secret History of Wall Street

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