by Jiayu Yi, Minxuan Hu, Qishi Zhan, Wenxi Sun, Ziheng Chen
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Suggested foundations for risk measurement and stress and asset pricing and factor research. Specialist prerequisites vary by paper.
Represent losses as a distribution rather than one forecast.
Distinguish a loss quantile from the average loss in the tail.
Interpret exposures, residuals and uncertainty in fitted coefficients.
Work with returns and recognise their empirical limitations.
Compare risk estimators and their assumptions.
Check forecasts against realised losses.
Connect factor definitions to portfolio construction.
Connect diversification, common risk factors, investor views, and the properties of a risk measure.