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Paper / 2004SMQ / 111369529902554
The effects of systemic crises when investors can be crisis ignorant
Koedijk, C.G. / Kole, H.J.W.G. / Verbeek, M.J.C.M.
portfolio management / systemic riskResource overview

The effects of systemic crises when investors can be crisis ignorant

Paper2004

by Koedijk, C.G., Kole, H.J.W.G., Verbeek, M.J.C.M.

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portfolio managementsystemic risk

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Suggested foundations for portfolio construction and risk measurement and stress. Specialist prerequisites vary by paper.

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  1. Eigenvalues and Covariance Matrices

    Understand the covariance structure of portfolio risk.

  2. Constrained and Convex Optimisation

    Read objectives, constraints and optimality conditions.

  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.

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  1. Mean-Variance Optimisation

    Construct allocations and examine sensitivity to estimated inputs.

  2. Portfolio Constraints

    Turn mathematical weights into feasible portfolio decisions.

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

    Compare risk estimators and their assumptions.

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Koedijk, C.G., Kole, H.J.W.G., Verbeek, M.J.C.M.

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