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Paper / 2023SMQ / 13628131998689
Intermediaries’ Substitutability and Financial Network Resilience: A Hyperstructure Approach
Delio Lucena-Piquero / Olivier Accominotti / Stefano Ugolini
financial networksResource overview

Intermediaries’ Substitutability and Financial Network Resilience: A Hyperstructure Approach

Paper2023

by Delio Lucena-Piquero, Olivier Accominotti, Stefano Ugolini

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financial networks

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Suggested foundations for risk measurement and stress. Specialist prerequisites vary by paper.

Before you read

  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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