Rethinking Risk in International Financial Markets Defended on Friday, 7 September 2001
This thesis aims to address many of the issues raised concerning the appropriate definition and measurement of risk. An alternative approach to the estimation of risk, and the risk-return trade-off in international financial markets is investigated. Rather than focusing on the deviation of returns as the appropriate measure for risk, the more relevant negative domain when defining risk is focused upon. The notion of downside risk is applied as a more appropriate measure for risk. The focus is on a variety of international financial markets and applications of downside risk are used for improving market risk and credit risk management models. A downside risk approach for portfolio management is also derived, providing a pragmatic approach to implementing an alternative risk measure into international finance.