Backtesting Marginal Expected Shortfall and Related Systemic Risk Measures
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- Denisa Banulescu & Christophe Hurlin & Jeremy Leymarie & Olivier Scaillet, 2020. "Backtesting Marginal Expected Shortfall and Related Systemic Risk Measures," Working Papers halshs-03088668, HAL.
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- Le, Trung H., 2020. "Forecasting value at risk and expected shortfall with mixed data sampling," International Journal of Forecasting, Elsevier, vol. 36(4), pages 1362-1379.
- Qin, Xiao & Zhou, Chen, 2021. "Systemic risk allocation using the asymptotic marginal expected shortfall," Journal of Banking & Finance, Elsevier, vol. 126(C).
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NEP fieldsThis paper has been announced in the following NEP Reports:
- NEP-BAN-2019-09-30 (Banking)
- NEP-ECM-2019-09-30 (Econometrics)
- NEP-FMK-2019-09-30 (Financial Markets)
- NEP-RMG-2019-09-30 (Risk Management)
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