Modeling and backtesting systemic risk measures: the case of CoES

DOI10.1080/07474938.2025.2562948MaRDI QIDQ6847148zbMATH OpenFDO

Authors Xuhui Wang, Zaichao Du, Xin Zhou

Publication date 9 March 2026

Published in Econometric Reviews (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1080/07474938.2025.2562948

Mathematics Subject Classification ID

Applications of statistics to economics (62P20)

Cites work

• \(M\)-estimation of linear models with dependent errors
• Backtesting Parametric Value-at-Risk With Estimation Risk
• Backtesting Systemic Risk Forecasts Using Multi-Objective Elicitability
• Bahadur representation of M_m estimates
• Coherent measures of risk
• Distribution of Residual Autocorrelations in Autoregressive-Integrated Moving Average Time Series Models
• Elements of financial risk management.
• Nonparametric Estimation and Sensitivity Analysis of Expected Shortfall
• On dependence consistency of CoVaR and some other systemic risk measures
• Powerful Backtests for Historical Simulation Expected Shortfall Models
• Weak convergence of non-stationary multivariate marked processes with applications to martingale testing
• Where the risks lie: a survey on systemic risk

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