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"Backtesting Marginal Expected Shortfall and Related Systemic Risk Measures."

Denisa Banulescu-Radu et al. (2021)

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DOI: 10.1287/MNSC.2020.3751

access: closed

type: Journal Article

metadata version: 2021-10-14

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  - journals/mansci/Banulescu-RaduH21
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  - https://dblp.org/rec/journals/mansci/Banulescu-RaduH21
Denisa Banulescu-Radu, Christophe Hurlin, Jérémy Leymarie, Olivier Scaillet:
Backtesting Marginal Expected Shortfall and Related Systemic Risk Measures. Manag. Sci. 67(9): 5730-5754 (2021)

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