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Backtesting marginal expected shortfall and related systemic risk measures

Banulescu, Denisa; Hurlin, Christophe; Leymarie, Jérémy; … - 2019

This paper proposes an original approach for backtesting systemic risk measures. This backtesting approach makes it possible to assess the systemic risk measure forecasts used to identify the financial institutions that contribute the most to the overall risk in the financial system. Our...

Persistent link: https://www.econbiz.de/10012101182

Currency crisis early warning systems : why they should be dynamic

Candelon, Bertrand; Dumitrescu, Elena-Ivona; Hurlin, … - In: International journal of forecasting 30 (2014) 4, pp. 1016-1029

Persistent link: https://www.econbiz.de/10010517771

Multivariate dynamic probit models : an application to financial crises mutation

Candelon, Bertrand; Dumitrescu, Elena-Ivona; Hurlin, … - In: VAR models in macroeconomics - new developments and …, (pp. 395-427). 2013

Persistent link: https://www.econbiz.de/10010252316

Extreme financial cycles

Candelon, Bertrand; Gaulier, Guillaume; Hurlin, Christophe - In: Revue d'économie politique 122 (2012) 6, pp. 823-831

Persistent link: https://www.econbiz.de/10009731051

Pitfalls in systemic-risk scoring

Benoit, Sylvain; Hurlin, Christophe; Pérignon, Christophe - In: Journal of financial intermediation 38 (2019), pp. 19-44

Persistent link: https://www.econbiz.de/10012269638

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