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Prof. Hashem Pesaran Professor of Economics, University of Cambridge
Thursday 19 November 2009, 13:00-14:00
Modelling Risks in Financial Markets: Asset Return Correlations and Market Risk
- đ¤ Speaker: Prof. Hashem Pesaran Professor of Economics, University of Cambridge
- đ Date & Time: Thursday 19 November 2009, 13:00 - 14:00
- đ Venue: Judge Business School, Trumpington Street, Castle Teaching Room
Abstract
Modelling of conditional volatilities and correlations across asset returns is an integral part of portfolio decision making and risk management. Over the past three decades there has been a trend towards increased asset return correlations across markets, a trend which has been accentuated during the recent financial crisis. We shall examine the nature of asset return correlations using daily returns on futures markets and investigate the extent to which multivariate volatility models proposed in the literature can be used to formally characterize and quantify market risk. In particular, we ask how adequate these models are for modelling market risk at times of financial crisis. Can the changing patterns of asset return correlations be predicted?
Series This talk is part of the Cambridge Centre for Risk Studies series.
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