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How deep was the September 2001 stock market crisis? putting recent events on the American and French markets into perspective with an index of market shocks
Maillet, Bertrand / Michel, Thierry
risk managementResource overview

How deep was the September 2001 stock market crisis? putting recent events on the American and French markets into perspective with an index of market shocks

Paper2002

by Maillet, Bertrand, Michel, Thierry

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risk management

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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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