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. R&R in Journal of Econometrics.
Backtesting Expected Shortfall via Multi-Quantile Regression, with O. Couperier, 2025. Under Review in European Journal of Operational Research.
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.