Colletaz, Gilbert; Hurlin, Christophe; Pérignon, Christophe - HAL - 2012
-at-Risk (VaR) and a VaR de.ned at an extremely low coverage probability. We then formally test whether the sequences of exceptions … market, credit, operational, or systemic risk estimates (VaR, stressed VaR, expected shortfall, and CoVaR) or to assess the …