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In-kind finance: a theory of trade credit
Burkart, Mike / Ellingsen, Tore
credit marketsResource overview

In-kind finance: a theory of trade credit

Paper2004

by Burkart, Mike, Ellingsen, Tore

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credit markets

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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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