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Paper / 2026SMQ / 189132106122949
Comonotonic and moment matching approximations for sums of lognormal random variables
Chunle Huang
risk managementResource overview

Comonotonic and moment matching approximations for sums of lognormal random variables

Paper2026

by Chunle Huang

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risk management

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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

    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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