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Local and Global Balance in Financial Correlation Networks: an Application to Investment Decisions
Paolo Bartesaghi / Pierpaolo Uberti / Rosanna Grassi
financial networks / systemic riskResource overview

Local and Global Balance in Financial Correlation Networks: an Application to Investment Decisions

Paper2025

by Paolo Bartesaghi, Pierpaolo Uberti, Rosanna Grassi

Tags
financial networkssystemic risk

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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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