Torben G. Andersen, Tim Bollerslev. Financial Risk Measurement for Financial Risk Management

2011. - 129 p.
Current practice largely follows restrictive approaches to market risk measurement,
such as historical simulation or RiskMetrics. In contrast, the book proposes flexible methods that exploit recent developments in financial econometrics and likely to produce more accurate risk assessments, treating both portfolio level and asset-level analysis. Asset-level analysis is particularly challenging because the demands of real-world risk management in financial institutions impose strict limits on model complexity.