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Paper / 2023SMQ / 224778472829553
An Axiomatization of the Pairwise Netting Proportional Rule in Financial Networks
Csóka, Péter / Herings, P.J.J.
financial networksResource overview

An Axiomatization of the Pairwise Netting Proportional Rule in Financial Networks

Paper2023

by Csóka, Péter, Herings, P.J.J.

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financial networks

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

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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

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

    Check forecasts against realised losses.

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