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1、CHAPTER17FinancialRiskMeasurementforFinancialRiskManagement*TorbenG.Andersena,1,TimBollerslevb,2,PeterF.Christoffersenc,3,andFrancisX.Dieboldd,4aKelloggSchoolofManagement,NorthwesternUniversity,Evanston,IL60208,USAbDepartmentofEconomics,DukeUniversity,Durham,NC27708,USAcRotmanScho
2、olofManagement,UniversityofToronto,Ontario,CanadaM5S3E6dDepartmentofEconomics,UniversityofPennsylvania,Philadelphia,PA19104,USAContents1.Introduction11281.1SixEmergentThemes11291.2ConditionalRiskMeasures11301.3PlanoftheChapter11332.ConditionalPortfolio-LevelRiskAnalysis11332.1Mode
3、lingTime-VaryingVolatilitiesUsingDailyDataandGARCH11342.1.1ExponentialSmoothingandRiskMetrics11342.1.2TheGARCH(1,1)Model11362.1.3ExtensionsoftheBasicGARCHModel11392.2IntradayDataandRealizedVolatility11422.2.1DynamicModelingofRealizedVolatility11472.2.2RealizedVolatilitiesandJumps1
4、1512.2.3CombiningGARCHandRV11542.3ModelingReturnDistributions11562.3.1ProceduresBasedonGARCH1160*TorhelpfulcommentswethankHalColeandDonghoSong.Forresearchsupport,Andersen,BollerslevandDieboldthanktheNationalScienceFoundation(US),andChristoffersenthankstheSocialSciencesandHumanitie
5、sResearchCouncil(Canada).1TorbenG.AndersenisNathanandMarySharpDistinguishedProfessorofFinanceattheKelloggSchoolofManagement,NorthwesternUniversity,ResearchAssociateattheNBER,andInternationalFellowofCREATES,UniversityofAarhus,Denmark.2TimBollerslevisJuanitaandCliftonKrepsProfessoro
6、fEconomics,DukeUniversity,ProfessorofFinanceatitsFuquaSchoolofBusiness,ResearchAssociateattheNBER,andanInternationalFellowofCREATES,UniversityofAarhus,Denmark.3PeterF.ChristoffersenisProfessorofFinanceattheRotmanSchoolofManagement,UniversityofTorontoandaffiliatedwithCopenhagenBusi
7、nessSchoolandCREATES,UniversityofAarhus,Denmark.4FrancisX.DieboldisPaulF.andWarrenS.MillerProfessorofEconomicsattheUniversityofPennsylvania,ProfessorofFinanceandStatisticsandCo-DirectoroftheFinancialInstitutionsCenteratitsWhartonSchool,andResearchAssociateattheNBER.HandbookoftheEc
8、onomicsofFinance©2013ElsevierB.V.
