Purpose SCOR 10.0, released in late 2010, is the second version of the supply chain
operations reference model (SCOR) to incorporate risk management processes, metrics and …

A key component of managing international interest rate portfolios is forecasts of the
covariances between national interest rates and accompanying exchange rates. How …

In this paper we consider the problem of deriving correlation estimates from observed option
data. An implied correlation estimate arises when we match the observed index option price …

Parametric, simulation-based and hybrid methods are utilized to estimate various risk
measures such as Value-at-Risk (VaR), Conditional VaR and coherent Expected Shortfall …

Reliable correlation forecasts are of paramount importance in modern risk management
systems. A plethora of correlation forecasting models have been proposed in the open …

In this paper, we propose a class of robust M‐estimators for the orthogonal generalized
autoregressive conditional heteroscedastic (GARCH) model. The method involves the …

In this paper, robust M-estimation of multivariate GARCH models are considered. The
simplified GARCH model is chosen that involves the estimation of only univariate GARCH …

This research makes contributions to conditional heteroscedastic models in financial time
series. A class of M-estimators for time series models with asymmetric form of …

This paper uncovers the nature of conditional correlations between and volatility spillovers
across bond, stock and foreign exchange in Indonesia, Malaysia, the Philippines, and …

The impact of jumps, regime switches, and linearly changing correlation term structures on
the risk management of basket options has been examined in this paper. First, the results …