Evaluating the accuracy of tail risk forecasts for systemic risk measurement
Year of publication: |
June 2018
|
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Authors: | Brownlees, Christian ; Cavaliere, Giuseppe ; Monti, Alice |
Published in: |
Annals of financial economics. - Hackensack, NJ [u.a.] : World Scientific, ISSN 2010-4952, ZDB-ID 2732467-9. - Vol. 13.2018, 2, p. 1-25
|
Subject: | Systemic risk | conditional value-at-risk | marginal expected shortfall | dcc model | forecasting | forecast evaluation | tick loss | loss functions | Finanzdienstleistung | Financial services | Prognoseverfahren | Forecasting model | Risikomaß | Risk measure | Systemrisiko | Finanzkrise | Financial crisis | Messung | Measurement | Portfolio-Management | Portfolio selection |
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