Backtesting marginal expected shortfall and related systemic risk measures
Denisa Banulescu-Radu, Christophe Hurlin, Jérémy Leymarie, Olivier Scaillet
| Year of publication: |
2021
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|---|---|
| Authors: | Banulescu-Radu, Denisa ; Hurlin, Christophe ; Leymarie, Jérémy ; Scaillet, Olivier |
| Published in: |
Management science : journal of the Institute for Operations Research and the Management Sciences. - Catonsville, MD : INFORMS, ISSN 0025-1909, ZDB-ID 206345-1. - Vol. 67.2021, 9, p. 5730-5754
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| Subject: | backtesting | banking regulation | hypothesis testing | risk management | systemic risk | Risikomaß | Risk measure | Systemrisiko | Systemic risk | Risikomanagement | Risk management | Statistischer Test | Statistical test | Bankrisiko | Bank risk | Messung | Measurement | Finanzkrise | Financial crisis | Theorie | Theory | Risiko | Risk | Basler Akkord | Basel Accord |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1287/mnsc.2020.3751 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://ebvufind01.dmz1.zbw.eu/10012650157