SIG-FIN-018-18

第18回研究会

A discussion on how to measure and deal with some global geopolitical risk for investment risk management†

著者†

Noboru Nishiyama (Dragons' Desk Limited, 千葉商科大学)

概要†

We have recently experienced several geopolitical events such as Brexit, China yuan devaluation etc.. I would like to discuss what quantitative methods are available for modeling and forecasting geopolitical risk from the practical perspective of investment managers.

キーワード†

Statistical Multi-factor model, GARCH, Variance-Covariance matrix estimation, VaR

論文†

SIG-FIN-018-18.pdf