Statistics and Data Analysis in Market Risk Measurement

Abstract

The paper contains some remarks on the application of statistical methods in market risk analysis and measurement. First of all, the historical sketch of the development in this area is given, as well as the systematization of the particular groups of applications, including modeling and forecasting financial prices and financial risk analysis. Then the review of three groups of market risk measures is given, namely: volatility measures, sensitivity measures and downside risk measures. Finally some possible directions of future research are discussed.