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Imperfect common knowledge in first generation models of currency crises
Minguez-Afonso, Gara
risk managementResource overview

Imperfect common knowledge in first generation models of currency crises

Paper2006

by Minguez-Afonso, Gara

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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

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  2. Backtesting VaR and ES: Coverage Tests and Model Validation

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