SIG-FIN-018-18 の履歴の現在との差分(No.0)

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[[第18回研究会]]

*A discussion on how to measure and deal with some global geopolitical risk for investment risk management [#zdaadd44]

**著者 [#jc34566c]
Noboru	Nishiyama (Dragons' Desk Limited, 千葉商科大学)


**概要 [#ef8d2d43]
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 [#v4ce990f]
Statistical Multi-factor model, GARCH, Variance-Covariance matrix estimation, VaR

**論文 [#g3b883c2]

//(3月6日以降に公表いたします)
&ref(SIG-FIN-018-18.pdf);