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  • Photo du rédacteurHélène Dufour

The Estimation Risk in Extreme Systemic Risk Forecasts

"#systemicrisk measures have been shown to be predictive of #financialcrises and declines in real activity. Thus, forecasting them is of major importance in #finance and #economics. In this paper, we propose a new forecasting method for systemic risk as measured by the marginal expected shortfall (#mes)."

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