Publications
Multivariate Inference for Dynamic Systemic Risk Measures (2026), with N. Hautsch, M. Schienle, and Y. Chen. Journal of Econometrics, 258, 106322 (Codes and Data)
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
Backtesting Expected Shortfall via Multi-Quantile Regression, with O. Couperier, 2025.
Elicitability of Marginal Expected Shortfall and Related Systemic Risk Measures", with S. Benoit, O. Couperier, O. Scaillet, 2023.
Granger-Causality in Conditional Quantiles and Financial Interconnectedness, with S. Hué, 2022.