smq/directoryAn evolving quant resource archive
Back to directoryResource
Paper / 2022SMQ / 225145947344281
On the optimal design of a financial stability fund
Eva Cárceles-Poveda / Ramon Marimon / Yan Liu / Árpád Ábrahám
financial stabilityResource overview

On the optimal design of a financial stability fund

Paper2022

by Eva Cárceles-Poveda, Ramon Marimon, Yan Liu, Árpád Ábrahám

Tags
financial stability

Access resource

Open original source Understand this paper

Continue on SelfMadeQuant

Understand this paper

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.

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.

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

Keep exploring

Related resources

More ideas from similar topics.

6

From the same author

Eva Cárceles-Poveda, Ramon Marimon, Yan Liu, Árpád Ábrahám

2