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person:"Scaillet, Olivier"
subject:"Credit risk"
~person:"Fermanian, Jean-David"
~subject:"Bankrisiko"
~type_genre:"Aufsatz in Zeitschrift"
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Scaillet, Olivier
Fermanian, Jean-David
Li, Jianping
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Journal of banking & finance
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Management science : journal of the Institute for Operations Research and the Management Sciences
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ECONIS (ZBW)
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Backtesting marginal expected shortfall and related systemic risk measures
Banulescu-Radu, Denisa
;
Hurlin, Christophe
;
Leymarie, …
- In:
Management science : journal of the Institute for …
67
(
2021
)
9
,
pp. 5730-5754
Persistent link: https://www.econbiz.de/10012650157
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2
Sensitivity analysis of VaR and expected shortfall for portfolios under netting agreements
Fermanian, Jean-David
;
Scaillet, Olivier
- In:
Journal of banking & finance
29
(
2005
)
4
,
pp. 927-958
Persistent link: https://www.econbiz.de/10002600391
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