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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
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Loss functions for Loss Given Default model comparison
Hurlin, Christophe; Leymarie, Jérémy; Patin, Antoine - In: European journal of operational research : EJOR 268 (2018) 1, pp. 348-360
Persistent link: https://www.econbiz.de/10011813102
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Do we need high frequency data to forecast variances?
Banulescu-Radu, Denisa; Hurlin, Christophe; Candelon, … - In: Annals of economics and statistics 123/124 (2016), pp. 135-174
Persistent link: https://www.econbiz.de/10011592741
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Compound and exchange options in the affine term structure model
Scaillet, Olivier - In: Applied mathematical finance 3 (1996) 1, pp. 75-92
Persistent link: https://www.econbiz.de/10001209608
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Density estimation using inverse and reciprocal inverse Gaussian kernels
Scaillet, Olivier (contributor) - 2001 - [Elektronische Ressource]
Persistent link: https://www.econbiz.de/10001700034
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Nonparametric estimation and sensitivity analysis of expected shortfall
Scaillet, Olivier - In: Mathematical finance : an international journal of … 14 (2004) 1, pp. 115-129
Persistent link: https://www.econbiz.de/10001917791
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A Kolmogorov-Smirnov type test for positive quadrant dependence
Scaillet, Olivier (contributor) - 2005
Persistent link: https://www.econbiz.de/10003120225
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A Kolmogorov-Smirnov type test for positive quadrant dependence
Scaillet, Olivier (contributor) - 2005
Persistent link: https://www.econbiz.de/10002634905
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Nonparametric estimation of conditional expected shortfall
Scaillet, Olivier (contributor) - 2004 - [Elektronische Ressource]
Persistent link: https://www.econbiz.de/10002436384
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Kernel based goodness-of-fit tests for copulas with fixed foxed smoothing parameters
Scaillet, Olivier (contributor) - 2005
Persistent link: https://www.econbiz.de/10003074267