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Paper / 2024SMQ / 62772129293374
Structured factor copulas for modeling the systemic risk of European and United States banks
Audronė Virbickaitė / Hoang Nguyen / M. Concepción Ausín / Pedro Galeano
contagion / copulasResource overview

Structured factor copulas for modeling the systemic risk of European and United States banks

Paper2024

by Audronė Virbickaitė, Hoang Nguyen, M. Concepción Ausín, Pedro Galeano

Tags
contagioncopulascredit risksystemic risk

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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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