Horizon problems and extreme events in financial risk management

Christoffersen, Peter F.; Diebold, Francis X.; Schuermann, Til

Journal Article

Horizon problems and extreme events in financial risk management

Abstract: This paper was presented at the conference \\"Financial services at the crossroads: capital regulation in the twenty-first century\\" as part of session 3, \\"Issues in value-at-risk modeling and evaluation.\\" The conference, held at the Federal Reserve Bank of New York on February 26-27, 1998, was designed to encourage a consensus between the public and private sectors on an agenda for capital regulation in the new century.

Keywords: Forecasting; Risk;

Status: Published in Financial services at the crossroads: capital regulation in the twenty-first century