Table of Contents

ForewordIntroductionSECTION 1. Risk Measures1. Philippe Artzner, Freddy Delbaen, Jean-Marc Eber, and David Heath, "Thinking Coherently" (Risk, November 1997)2. G. Kaplanski and Y. Kroll, "Value-at-Risk Risk Measures vs Traditional Risk Measures: an Analysis and Survey" (JOR 4.3, Spring 2002)3. A. Pfingsten, P. Wagner and C. Wolferink, "An Empirical investigation of the Rank Correlation between different Risk Measures" (JOR 6.4, Summer 2004)4. A. Chabaane, J.-P. Laurent, Y. Malevergne and F.Turpin, "Alternative risk measures for alternative investments" (JOR 8.4, Summer 2006)SECTION 2. Estimation of Risk Models5. Jon Danielsson and Philipp Hartmann & Casper De Vries, "The Cost of Conservatism" (Risk January 98)6. Torben Andersen, Tim Bollerslev, Francis Diebold, and Paul Labys, "Great Realisation" (Risk, March 2000)7. J. H. Venter and P.J. de Jongh, "Selecting an innovation distribution for GARCH models to improve efficiency of risk and volatility estimation" (JOR 6.3, Spring 2004)8. J. Hull and A. White, "Incorporating volatility updating into the historical simulation method for VaR" (JOR 1.1, Fall 1998)9. Peter Christoffersen and Silvia Goncalves, "Estimation risk in financial risk management" (JOR 7.3, Spring 2005)SECTION 3. Multivariate Models, Correlations, Copulas10. Robert Engle and Joseph Mezrich, "GARCH for Groups" (Risk, August 1996)11. S. Turkay, E. Epperlein and N. Christofides, "Correlation stress testing for value-at-risk" (JOR 5.4, Summer 2003)12. F. Audrino and P. Buhlmann, "Synchronizing multivariate financial time series" (JOR 6.2, Winter 2003/04)13. Y. Malevergne and D. Sornette, "How to account for extreme co-movements between individual stocks and the market" (JOR 6.3, Spring 2004)SECTION 4. Large Events, Crisis, and Fat Tails14. Paul Embrechts & Sidney Resnick & G.Samorodnisky, "Living on the Edge" (Risk, January 1998)15. Michael Dacorogna and Peter Blum, "Extreme forex moves" (Risk, February 2003)16. John Hull, "The power law" (Risk, March 2007)17. Koedijk, R. Huisman, and Rachel Pownall, "VaR-x: fat tails in financial risk management" (JOR 1.1, Fall 1998)18. C. Brooks and G. Persand, "Value-at-risk and market crashes" (JOR 2.4, Summer 2000)SECTION 5. Evaluation of Models and Systems (back tests and stress tests)19. Turan Bali and Salih Neftci, "The relativity of volatility" (Risk, April 2001)20. Jeremy Berkowitz, "Testing assumptions" (Risk, May 2002)21. J. Lopez, "Regulatory evaluation of value-at-risk models" (JOR 1.2, Winter 1998/99)22. Gerhard Stahl, Carsten S. Wehn & Andreas Zapp, "Backtesting within the Trading Book" (JOR 8.2, Winter 2005/06)23. Sean D. Campbell, "A review of backtesting and backtesting procedures" (JOR 9.2, Winter 2006/07)

About the Author

Jon Danielsson has a PhD in the economics of financial markets, and is currently a reader in finance at the London School of Economics. His research areas include financial risk, regulation of financial markets, market volatility, models of extreme market movements, and microstructure of foreign exchange markets. He has published his work in a range of academic and practitioners journals, and discussed his work in a number of universities, financial institutions and government agencies.