Evaluating the accuracy of tail risk forecasts for systemic risk measurement
Christian Brownlees, Giuseppe Cavaliere and Alice Monti
| Year of publication: |
June 2018
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|---|---|
| Authors: | Brownlees, Christian ; Cavaliere, Giuseppe ; Monti, Alice |
| Published in: |
Annals of financial economics. - Hackensack, NJ [u.a.] : World Scientific, ISSN 2010-4952, ZDB-ID 2732467-9. - Vol. 13.2018, 2, p. 1-25
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| Subject: | Systemic risk | conditional value-at-risk | marginal expected shortfall | dcc model | forecasting | forecast evaluation | tick loss | loss functions | Risikomaß | Risk measure | Systemrisiko | Prognoseverfahren | Forecasting model | Finanzkrise | Financial crisis | Prognose | Forecast | Risikomanagement | Risk management | Risiko | Risk | Theorie | Theory | ARCH-Modell | ARCH model | Statistische Verteilung | Statistical distribution | Bankrisiko | Bank risk |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1142/S2010495218500094 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://ebvufind01.dmz1.zbw.eu/10011931111