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Paper / 2024SMQ / 90726278067666
Global Balance and Systemic Risk in Financial Correlation Networks
Fernando Diaz-Diaz / Paolo Bartesaghi / Pierpaolo Uberti / Rosanna Grassi
financial networks / systemic riskResource overview

Global Balance and Systemic Risk in Financial Correlation Networks

Paper2024

by Fernando Diaz-Diaz, Paolo Bartesaghi, Pierpaolo Uberti, Rosanna Grassi

Tags
financial 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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