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Using Network-based Causal Inference to Detect the Sources of Contagion in the Currency Market
Ernst-Jan Camiel Wit / Katerina Rigana / Samantha Cook
causal inference / contagionResource overview

Using Network-based Causal Inference to Detect the Sources of Contagion in the Currency Market

Paper2021

by Ernst-Jan Camiel Wit, Katerina Rigana, Samantha Cook

Tags
causal inferencecontagionfinancial networksforeign exchange

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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

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  2. Backtesting VaR and ES: Coverage Tests and Model Validation

    Check forecasts against realised losses.

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