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GFC-Robust Risk Management Under the Basel Accord Using Extreme Value Methodologies
Jiménez-Martín, J.A. / McAleer, M.J. / Pérez-Amaral, T. / Santos, P.A.
extreme value theory / risk managementResource overview

GFC-Robust Risk Management Under the Basel Accord Using Extreme Value Methodologies

Paper2011

by Jiménez-Martín, J.A., McAleer, M.J., Pérez-Amaral, T., Santos, P.A.

Tags
extreme value theoryrisk managementvolatility forecasting

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Suggested foundations for risk measurement and stress and volatility models and surfaces. 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. Stochastic Processes, Brownian Motion and Itô's Lemma

    Follow diffusion-based models and their assumptions.

  4. ARCH and GARCH

    Separate conditional volatility from observed returns.

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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.

  3. Stochastic Volatility and the Heston Model

    Study a correlated stochastic-variance model.

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