Strategic long-term financial risks: Single risk factors

摘要

The question of the measurement of strategic long-term financial risks is of considerable importance. Existing modelling instruments allow for a good measurement of market risks of trading books over relatively small time intervals. However, these approaches may have severe deficiencies if they are routinely applied to longer time periods. In this paper we give an overview on methodologies that can be used to model the evolution of risk factors over a one-year horizon. Different models are tested on financial time series data by performing backtesting on their expected shortfall predictions.