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Sharing Asymmetric Tail Risk Smoothing, Asset Pricing and Terms of Trade
Corsetti, G. / Lipińska, A. / Lombardo, G.
asset pricing / financial economicsResource overview

Sharing Asymmetric Tail Risk Smoothing, Asset Pricing and Terms of Trade

Paper2021

by Corsetti, G., Lipińska, A., Lombardo, G.

Tags
asset pricingfinancial economicstail risk

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Suggested foundations for asset pricing and factor research and risk measurement and stress. Specialist prerequisites vary by paper.

Before you read

  1. Linear Regression

    Interpret exposures, residuals and uncertainty in fitted coefficients.

  2. Financial Return Characteristics

    Work with returns and recognise their empirical limitations.

  3. Random Variables and Distributions

    Represent losses as a distribution rather than one forecast.

  4. Expected Shortfall and Other Tail Risk Measures

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

Go further

  1. Factor construction

    Connect factor definitions to portfolio construction.

  2. Time-series and cross-sectional tests

    Distinguish exposure estimation from tests of expected returns.

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

    Compare risk estimators and their assumptions.

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Corsetti, G., Lipińska, A., Lombardo, G.

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