| This research project aims at investigating the risk characteristics of investmentsin emerging financial markets. Such investments seem very attractive when usingtraditional measures of risk and dependence, such as variance and correlation of assetreturns. However, the risk of emerging market investments can be largely attributedto crises and crashes, which occur much more frequently than in developed markets.We aim to develop alternative risk measures that properly account for risk due to thepossibility of large losses on investments because of extreme declines in asset priceswhich the conventional risk measures do not. |
