Discussion on risk management methodology for price fluctuations as "unintended consequences" in markets

Abstract

The purpose of this research is to discuss some investment risk management issues for unexpected fluctuations such as "unintended consequences" in markets. "Unintended consequences" are illustrated as phenomena based on mutual-interaction between the macro and micro level, known as macro-micro linkage. From this perspective, I am interested in the changes of risk model methodology after the financial crisis and then tighter restriction by regulator in financial industry. I am focusing on how to generate better risk estimation based on the statistical model under the current circumstances.