Strategic Long-Term Financial Risks The One-Dimensional Case
نویسندگان
چکیده
Abstract. The development of a methodology that could be used for the measurement of strategic long-term financial risks is becoming an important task. Existing modelling instruments allow for a good measurement of market risks of trading books over relatively small time intervals. However, these approaches might have some severe deficiencies if they are applied to longer time periods. In this paper we give an overview on methodologies that are proposed to model the evolution of risk factors over a long horizon. We investigate in detail the statistical properties and the behaviour of financial time series at different frequencies. Then, we test the different models on these data by backtesting expected shortfall predictions.
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