Publications
Backtesting Marginal Expected Shortfall and Related Systemic Risk Measures (2021), with G.D Banulescu, C. Hurlin, and O. Scaillet. Management Science, 67(9), 5730-5754 (Codes and Data)
Loss Functions for Loss Given Default Model Comparison(2018), with C. Hurlin, and A. Patin. European Journal of Operational Research, 268(1), 348-360
Working papers
Multivariate Inference for Dynamic Systemic Risk Measures, with N. Hautsch, M. Schienle, and Y. Chen, 2025.
Backtesting Expected Shortfall via Multi-Quantile Regression, with O. Couperier, 2023.
Elicitability of Marginal Expected Shortfall and Related Systemic Risk Measures", with S. Benoit, O. Couperier, O. Scaillet, 2023.