Backtesting Marginal Expected Shortfall and Related Systemic Risk Measures
Banulescu-Radu, Denisa, Hurlin, Christophe, Leymarie, Jérémy, Scaillet, OlivierJournal:
Management Science
DOI:
10.1287/mnsc.2020.3751
Date:
December, 2020
File:
PDF, 2.24 MB
2020