Backtesting Marginal Expected Shortfall and Related Systemic Risk Measures

Denisa Banulescu; Christophe Hurlin; Jeremy Leymarie; Olivier Scaillet

doi:10.2139/ssrn.3456052

Preprints, Working Papers, ... Year : 2020

Backtesting Marginal Expected Shortfall and Related Systemic Risk Measures

, (1) , ,

1

Denisa Banulescu

Function : Author
PersonId : 780727
ORCID : 0000-0003-2399-0724
IdRef : 184340993

Christophe Hurlin

Function : Author
PersonId : 819007
IdHAL : christophe-hurlin
ORCID : 0000-0002-6082-8251
IdRef : 079115969

Laboratoire d'Économie d'Orleans [UMR7322]

Jeremy Leymarie

Function : Author
PersonId : 782087
ORCID : 0000-0001-5109-245X

Olivier Scaillet

Function : Author
PersonId : 804932
ORCID : 0000-0002-3948-6891
IdRef : 034296530

Domains

Economics and Finance

Christophe Hurlin : Connect in order to contact the contributor

https://shs.hal.science/halshs-03088668

Submitted on : Saturday, December 26, 2020-9:17:20 PM

Last modification on : Monday, July 1, 2024-3:34:04 PM

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halshs-03088668 , version 1 (26-12-2020)

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HAL Id : halshs-03088668 , version 1
DOI : 10.2139/ssrn.3456052

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Denisa Banulescu, Christophe Hurlin, Jeremy Leymarie, Olivier Scaillet. Backtesting Marginal Expected Shortfall and Related Systemic Risk Measures. 2020. ⟨halshs-03088668⟩

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Backtesting Marginal Expected Shortfall and Related Systemic Risk Measures

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