Open AccessBacktesting Marginal Expected Shortfall and Related Systemic Risk Measures
Author(s) -
Georgiana-Denisa Banulescu,
Christophe Hurlin,
Jérémy Leymarie,
Olivier Scaillet
Publication year - 2020
Publication title -
management science
Language(s) - English
Resource type - Journals
SCImago Journal Rank - 4.954
H-Index - 255
eISSN - 1526-5501
pISSN - 0025-1909
DOI - 10.1287/mnsc.2020.3751
Subject(s) - expected shortfall , systemic risk , econometrics , bivariate analysis , value at risk , risk measure , autoregressive conditional heteroskedasticity , economics , conditional independence , actuarial science , financial crisis , statistics , risk management , mathematics , financial economics , finance , volatility (finance) , portfolio , macroeconomics
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