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What Happened to Risk Management During the 2008-09 Financial Crisis?
Jiménez-Martín, J.A. / McAleer, M.J. / Pérez-Amaral, T.
market risk / risk managementResource overview

What Happened to Risk Management During the 2008-09 Financial Crisis?

Paper2009

by Jiménez-Martín, J.A., McAleer, M.J., Pérez-Amaral, T.

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market riskrisk management

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Suggested foundations for risk measurement and stress. 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.

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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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