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Paper / 2009SMQ / 20180614101202
Globalization and financial liberalization : indebtedness and crises in the Asian emerging countries. The case of Thailand, South Korea, Indonesia and Malaysia
Nada Saliba
risk managementResource overview

Globalization and financial liberalization : indebtedness and crises in the Asian emerging countries. The case of Thailand, South Korea, Indonesia and Malaysia

Paper2009

by Nada Saliba

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risk management

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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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