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Can Leading Indicators Assess Country Vulnerability? Evidence from the 2008-09 Global Financial Crisis
Frankel, Jeffrey A. / Saravelos, George
risk managementResource overview

Can Leading Indicators Assess Country Vulnerability? Evidence from the 2008-09 Global Financial Crisis

Paper2012

by Frankel, Jeffrey A., Saravelos, George

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risk management

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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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