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Backtesting Marginal Expected Shortfall and Related Systemic Risk Measures

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https://halshs.archives-ouvertes.fr/halshs-03088668
Contributor : Christophe Hurlin <>
Submitted on : Saturday, December 26, 2020 - 9:17:20 PM
Last modification on : Sunday, December 27, 2020 - 3:30:56 AM

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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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