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Paper / 2024SMQ / 67002291204603
Some remarks on the effect of risk sharing and diversification for infinite mean risks
Alfred Müller
risk managementResource overview

Some remarks on the effect of risk sharing and diversification for infinite mean risks

Paper2024

by Alfred Müller

Tags
risk management

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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.

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