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Paper / 2025SMQ / 237766841308272
An asset-level analysis of financial tail risks under extreme weather events
Baer, Moritz / Bernhofen, Mark / Borsuk, Marcin / Kerkhofs, Ruben / Ranger, Nicola / Schoutens, Wim / Shrimali, Gireesh
copulas / tail riskResource overview

An asset-level analysis of financial tail risks under extreme weather events

Paper2025

by Baer, Moritz, Bernhofen, Mark, Borsuk, Marcin, Kerkhofs, Ruben, Ranger, Nicola, Schoutens, Wim, Shrimali, Gireesh

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copulastail risk

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Suggested foundations for risk measurement and stress. Specialist prerequisites vary by paper.

Before you read

  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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