A Gentle Introduction to the RM2006 Methodology

13 Pages Posted: 15 Jun 2009

See all articles by Gilles O. Zumbach

Gilles O. Zumbach

University of Applied Sciences Western Switzerland - Geneva School of Business Administration

Date Written: January 15, 2007

Abstract

We present the basic concepts used in market risk evaluations, as well as the standard methodologies to compute quantitatively the risk. A new methodology is introduced with the goal to incorporate the state-of-the-art knowledge about financial time series. The performance evaluation of risk methodologies is explained, and the performance measures of the main risk methodologies are compared. The presentation stays at the conceptual level and uses the minimum number of formula needed for clarity.

Keywords: risk evaluation, RM2006, heteroskedasticity, fat-tail, long-memory ARCH process

Suggested Citation

Zumbach, Gilles, A Gentle Introduction to the RM2006 Methodology (January 15, 2007). Available at SSRN: https://ssrn.com/abstract=1420183 or http://dx.doi.org/10.2139/ssrn.1420183

Gilles Zumbach (Contact Author)

University of Applied Sciences Western Switzerland - Geneva School of Business Administration ( email )

CH-1227 Geneva
Switzerland

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