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, ...

Backtesting Marginal Expected Shortfall and Related Systemic Risk Measures

Denisa Banulescu Christophe Hurlin ¹ Jeremy Leymarie Olivier Scaillet

1 LEO - Laboratoire d'Économie d'Orleans

Document type :

Preprints, Working Papers, ...

Domain :

Humanities and Social Sciences / Economics and Finance

Complete list of metadatas

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

Backtesting Marginal Expected Shortfall and Related Systemic Risk Measures

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Backtesting Marginal Expected Shortfall and Related Systemic Risk Measures

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