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Paper / 2018SMQ / 170904092982847
Practical Volume Computation of Structured Convex Bodies, and an Application to Modeling Portfolio Dependencies and Financial Crises
Apostolos Chalkis / Ioannis Z. Emiris / Ludovic Calès / Vissarion Fisikopoulos
risk managementResource overview

Practical Volume Computation of Structured Convex Bodies, and an Application to Modeling Portfolio Dependencies and Financial Crises

Paper2018

by Apostolos Chalkis, Ioannis Z. Emiris, Ludovic Calès, Vissarion Fisikopoulos

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risk management

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  1. Random Variables and Distributions

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  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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