smq/directoryAn evolving quant resource archive
Back to directoryResource
Paper / 2011SMQ / 263521785091228
International Evidence on GFC-robust Forecasts for Risk Management under te Basel Accord
Jiménez-Martín, J.A. / McAleer, M.J. / Pérez-Amaral, T.
backtesting / garchResource overview

International Evidence on GFC-robust Forecasts for Risk Management under te Basel Accord

Paper2011

by Jiménez-Martín, J.A., McAleer, M.J., Pérez-Amaral, T.

Tags
backtestinggarchmarket riskrisk managementvolatility forecasting

Access resource

Open original source Understand this paper

Continue on SelfMadeQuant

Understand this paper

Suggested foundations for risk measurement and stress and volatility models and surfaces. 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.

  3. Stochastic Processes, Brownian Motion and Itô's Lemma

    Follow diffusion-based models and their assumptions.

  4. ARCH and GARCH

    Separate conditional volatility from observed returns.

Go further

  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.

  3. Stochastic Volatility and the Heston Model

    Study a correlated stochastic-variance model.

Explore a related reading path

Lesson links open public previews. Access to full lessons depends on the topic and your membership.

Explore Quantitative Risk Management Explore Advanced Derivatives and Exotic Options

Keep exploring

Related resources

More ideas from similar topics.

6

From the same author

Jiménez-Martín, J.A., McAleer, M.J., Pérez-Amaral, T.

6