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Comments on: Nonparametric tail risk, stock returns and the macroeconomy

Camponovo, Lorenzo; Scaillet, Olivier; Trojani, Fabio - 2016

Persistent link: https://www.econbiz.de/10011518800

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

On the way to recovery : a nonparametric bias free estimation of recovery rate densities

Renault, Olivier; Scaillet, Olivier - In: Journal of banking & finance 28 (2004) 12, pp. 2915-2931

Persistent link: https://www.econbiz.de/10002410710

On the way to recovery : a nonparametric bias free estimation of recovery rate densities

Renault, Olivier; Scaillet, Olivier - 2003

Persistent link: https://www.econbiz.de/10001764671

Sensitivity analysis of VaR and expected shortfall for portfolios under netting agreements

Fermanian, Jean-David; Scaillet, Olivier - 2003

Persistent link: https://www.econbiz.de/10001807607

Sensitivity analysis of var and expected shortfall for portfolios under netting agreements

Fermanian, Jean-David; Scaillet, Olivier - 2003

Persistent link: https://www.econbiz.de/10001812434

On the way to recovery: a nonparametric bias free estimation of recovery rate densities

Renault, Olivier (contributor); … - 2003 - [Elektronische Ressource]

Persistent link: https://www.econbiz.de/10001865061

Sensitivity analysis of VaR expected shortfall for portfolios under netting agreements

Fermanian, Jean-David (contributor); … - 2003 - [Elektronische Ressource]

Persistent link: https://www.econbiz.de/10001791460

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

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