*The deadline has been extended to 30th January 2017*
Econometrics and Statistics
Part A: Econometrics
CALL FOR PAPERS
Special Issue on RISK MANAGEMENT
http://www.elsevier.com/locate/ecosta
http://www.sciencedirect.com/science/journal/aip/24523062
We are inviting submissions for a special issue of the journal
Econometrics and Statistics (Part A: Econometrics) on Risk
Management. Quantitative risk management has developed into an
essential field within quantitative finance, from its arguable
inception into the limelight over 20 years ago with the popularization
of the value at risk measure of overall risk exposure, and further
"profiting" from the subprime and global financial crisis 10 years
ago. The Basel framework continues to develop rules for capital
requirements and regulations for market, credit and operational risk,
as well as moving towards adoption of coherent risk measures such as
the expected shortfall. Despite, or perhaps because of, the explosion
of research in the area, many difficult questions have arisen, and
remain to be answered, such as risk aggregation, and contagion effects
among major financial institutions and their implications for global
financial stability.
This special issue is dedicated to all fields of quantitative risk
management. General topics of interest include, but are not limited
to:
- Risk Measures: Properties, Implementation and Prediction
- Modeling: GARCH, SV, Realized Volatility, Jump Diffusions
- Disentanglement of Short- and Long-term Volatility
- Methodology: Quantile Regression, VAR for VaR, EVT
- Forward-Looking Measures: Implied Vol, ES from Option Prices
- Model Risk and Selection
- Risk Aggregation: (Tail) Dependence Measures, Copula Modeling
- Model Validation, Stress Testing, Scenario Analysis
- Models for Contagion and Financial Connectedness
- Structural Analysis of Systemic Risk and Default
- Pricing of Tail Risk and connections to Macroeconomics
- Backtesting and (Non-)Elicitability of Expected Shortfall
Submissions will be refereed according to standard procedures for
Econometrics and Statistics. Information about the journal can be
found at http://www.elsevier.com/locate/ecosta.
The deadline for submissions is 30 January 2017. However, papers can
be submitted at any time and once they are received, they will enter
the editorial system immediately. Papers for the special issue should
be submitted using the Elsevier Electronic Submission tool (EES):
http://ees.elsevier.com/ecosta.
In the EES, please choose the "SI Risk Management".
The special issue editors:
John M. Maheu, McMaster University, Canada
Email: [log in to unmask]
Marc Paolella, University of Zurich, Switzerland
Email: [log in to unmask]
Tak Kuen Siu, Macquarie University, Australia
Email: [log in to unmask]
Mike K.P. So, Hong Kong UST, China
Email: [log in to unmask]
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