Abstract

References (8)

Beta

Download | Share | Email | Add to Briefcase | Buy Hard Copy

Term Structure of Risk, the Role of Known and Unknown Risks and Non-Stationary Distributions

Riccardo Colacito
UNC Chapel Hill

Robert F. Engle
Leonard N. Stern School of Business - Department of Economics; National Bureau of Economic Research (NBER)

THE KNOWN, THE UNKNOWN AND THE UNKNOWABLE IN FINANCIAL RISK MANAGEMENT, F.X. Diebold, ed., Forthcoming

Abstract:
In this paper we document the presence of a term structure of risk and we propose how to measure it using alternative models to forecast volatility and the Value at Risk at different horizons. We then quantify the benefits of an investor that is aware of the existence of a term structure of risk in the context of an asset allocation exercise.

Accepted Paper Series

Date posted: September 14, 2008 ; Last revised: September 14, 2008

Suggested Citation

Colacito, Riccardo and Engle, Robert F., Term Structure of Risk, the Role of Known and Unknown Risks and Non-Stationary Distributions (March 15, 2007). THE KNOWN, THE UNKNOWN AND THE UNKNOWABLE IN FINANCIAL RISK MANAGEMENT, F.X. Diebold, ed., Forthcoming. Available at SSRN: http://ssrn.com/abstract=1267247

Export to: Export Citation What's this?

Contact Information

Riccardo Colacito (Contact Author) UNC Chapel Hill ( email ) Kenan-Flagler Business School Chapel Hill, NC 27599-3490 United States HOME PAGE: http://www.unc.edu/~colacitr
Robert F. Engle Leonard N. Stern School of Business - Department of Economics ( email ) 269 Mercer Street New York, NY 10003 United States
National Bureau of Economic Research (NBER) 1050 Massachusetts Avenue Cambridge, MA 02138 United States

Abstract

References (8)

Date posted: September 14, 2008 ; Last revised: September 14, 2008

Suggested Citation

Contact Information

Riccardo Colacito (Contact Author)

Robert F. Engle