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Transparency in the financial system: rollover risk and crises
Bouvard, Matthieu / Chaigneau, Pierre / Motta, Adolfo
financial stabilityResource overview

Transparency in the financial system: rollover risk and crises

Paper2012

by Bouvard, Matthieu, Chaigneau, Pierre, Motta, Adolfo

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financial stability

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  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.

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  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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