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Regionality revisited: an examination of the direction of spread of currency crises
Dasgupta, Amil / Leon-Gonzalez, Roberto / Shortland, Anja
bayesian statistics / contagionResource overview

Regionality revisited: an examination of the direction of spread of currency crises

Paper2006

by Dasgupta, Amil, Leon-Gonzalez, Roberto, Shortland, Anja

Tags
bayesian statisticscontagionstatistical inference

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Suggested foundations for probability and statistical reasoning and 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. Conditional Expectation

    Interpret expectations after information is observed.

  3. Expected Shortfall and Other Tail Risk Measures

    Distinguish a loss quantile from the average loss in the tail.

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  1. Confidence Intervals and Hypothesis Testing

    Assess uncertainty rather than treating an estimate as a fact.

  2. VaR Estimation in Practice: Variance-Covariance, Historical Simulation, Monte Carlo

    Compare risk estimators and their assumptions.

  3. Backtesting VaR and ES: Coverage Tests and Model Validation

    Check forecasts against realised losses.

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