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Paper / 2025SMQ / 3360271278473
Dynamic Spatial Treatment Effects and Network Fragility: Theory and Evidence from the 2008 Financial Crisis
Tatsuru Kikuchi
causal inference / contagionResource overview

Dynamic Spatial Treatment Effects and Network Fragility: Theory and Evidence from the 2008 Financial Crisis

Paper2025

by Tatsuru Kikuchi

Tags
causal inferencecontagionfinancial networkssystemic risk

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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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