by David Heath, Freddy Delbaen, Jean-Marc Eber, Philippe Artzner
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Start with the foundations, then use the reading focus to connect the paper to further study.
Read the distributions and expectations used in probabilistic arguments.
Distinguish a loss quantile from the average loss in the tail.
Interpret expectations after information is observed.
Compare risk estimators and their assumptions.
Check forecasts against realised losses.
Assess uncertainty rather than treating an estimate as a fact.
Connect diversification, common risk factors, investor views, and the properties of a risk measure.
Explore related loss distributions and tail-risk measurements.
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