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Equity Tail Risk in the Treasury Bond Market
Dario Ruzzi / Mirco Rubin
econometrics / equity marketsResource overview

Equity Tail Risk in the Treasury Bond Market

Paper2020

by Dario Ruzzi, Mirco Rubin

Tags
econometricsequity marketsfixed incomeinterest ratestail riskterm structure models

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Understand this paper

Suggested foundations for risk measurement and stress and rates and fixed income. 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.

  3. The Bank Account, Short Rate, and the Fundamental Pricing Equation

    Understand discounting in a stochastic-rate model.

  4. DV01, Dollar Duration, and One-Factor Price Sensitivity

    Translate yield movements into first-order price risk.

Go further

  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.

  3. Bootstrapping the Spot Curve from Market Instruments

    Build a consistent discount curve.

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

Explore Quantitative Risk Management Explore Fixed Income and Interest-Rate Models

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