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A Simple Model of the Financial Crisis of 2007-9 with Implications for the Design of a Stimulus Package
Basu, Kaushik
credit markets / economic policyResource overview

A Simple Model of the Financial Crisis of 2007-9 with Implications for the Design of a Stimulus Package

Paper2009

by Basu, Kaushik

Tags
credit marketseconomic policy

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  1. Random Variables and Distributions

    Represent losses as a distribution rather than one forecast.

  2. Expected Shortfall and Other Tail Risk Measures

    Distinguish a loss quantile from the average loss in the tail.

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  1. VaR Estimation in Practice: Variance-Covariance, Historical Simulation, Monte Carlo

    Compare risk estimators and their assumptions.

  2. Backtesting VaR and ES: Coverage Tests and Model Validation

    Check forecasts against realised losses.

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