smq/directoryAn evolving quant resource archive
Back to directoryResource
Paper / 2020SMQ / 178755059095915
Cross-Border Spillovers in Foreign Currency Credit
Christos S. Savva / Kyriakos C. Neanidis
econometricsResource overview

Cross-Border Spillovers in Foreign Currency Credit

Paper2020

by Christos S. Savva, Kyriakos C. Neanidis

Tags
econometrics

Access resource

Open original source Understand this paper

Continue on SelfMadeQuant

Understand this paper

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

Before you read

  1. Stationarity and Unit Roots

    Check whether a relationship can be estimated consistently over time.

  2. Linear Regression

    Read the fitted relationship and its residuals.

  3. Random Variables and Distributions

    Represent losses as a distribution rather than one forecast.

  4. Expected Shortfall and Other Tail Risk Measures

    Distinguish a loss quantile from the average loss in the tail.

Go further

  1. Cointegration and Error Correction

    Study long-run relationships without confusing them with correlation.

  2. Regression Assumptions and Diagnostics

    Check the assumptions behind reported estimates.

  3. VaR Estimation in Practice: Variance-Covariance, Historical Simulation, Monte Carlo

    Compare risk estimators and their assumptions.

Explore a related reading path

Lesson links open public previews. Access to full lessons depends on the topic and your membership.

Explore Econometrics and Financial Time Series Explore Quantitative Risk Management

Keep exploring

Related resources

More ideas from similar topics.

6

From the same author

Christos S. Savva, Kyriakos C. Neanidis

6