Backtesting Marginal Expected Shortfall and Related Systemic Risk Measures

Denisa Banulescu (), Christophe Hurlin, Jérémy Leymarie and Olivier Scaillet

Working Papers from HAL

Date: 2020-12-26
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Related works:
Journal Article: Backtesting Marginal Expected Shortfall and Related Systemic Risk Measures (2021)
Working Paper: Backtesting Marginal Expected Shortfall and Related Systemic Risk Measures (2021)
Working Paper: Backtesting marginal expected shortfalland related systemic risk measures (2020)
Working Paper: Backtesting Marginal Expected Shortfall and Related Systemic Risk Measures (2019)
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Persistent link: https://EconPapers.repec.org/RePEc:hal:wpaper:halshs-03088668

DOI: 10.2139/ssrn.3456052

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