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Risk mitigating versus risk shifting: evidence from banks security trading in crises
Andrea Polo / Enrico Sette / José-Luis Peydró / Victoria Vanasco
banking / causal identificationResource overview

Risk mitigating versus risk shifting: evidence from banks security trading in crises

Paper2023

by Andrea Polo, Enrico Sette, José-Luis Peydró, Victoria Vanasco

Tags
bankingcausal identificationrisk management

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Suggested foundations for risk measurement and stress and credit and counterparty risk. 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. Credit Instruments, PD/LGD/EAD, and Rating Migration

    Separate default probability, loss severity and exposure.

  4. Conditional Expectation

    Read conditional default and exposure quantities.

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. Threshold Models and the Gaussian Copula for Portfolio Default

    Study dependence between defaults.

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