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An Historical Perspective on the Quest for Financial Stability and the Monetary Policy Regime
Michael D. Bordo
financial stabilityResource overview

An Historical Perspective on the Quest for Financial Stability and the Monetary Policy Regime

Paper2017

by Michael D. Bordo

Tags
financial stability

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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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