Dynamic measures of systemic risk
Type Research Project
Funding Bodies
- Oesterreichische Nationalbank (Jubiläumsfonds) http://www.oenb.at/de/ueber_die_oenb/foerderung/jubilaeumsfondsneu/jubilaeumsfonds.jsp
Duration March 1, 2019 - Feb. 28, 2023
- Institute for Statistics and Mathematics IN (Details)
Tags
Press 'enter' for creating the tag- Diem, Christian (Former researcher)
- Johnson, Kory (Former researcher)
- Rudloff, Birgit (Details) Project Head
Publications
Journal article
2021 |
Fissler, Tobias, Hlavinova, Jana, Rudloff, Birgit. 2021. Elicitability and Identifiability of Systemic Risk Measures. Finance and Stochastics. 25 (1), 133-165.
![]() |
(Details) | |
Fissler, Tobias, Frongillo, Rafael, Hlavinova, Jana, Rudloff, Birgit. 2021. Forecast evaluation of quantiles, prediction intervals, and other set-valued functionals. Electronic Journal of Statistics. 15 (1), 1034-1084.
![]() |
(Details) | ||
2020 | Ararat, Çagin, Rudloff, Birgit. 2020. Dual representations for systemic risk measures. Mathematics and Financial Economics. 14 (1), 139-174. | (Details) |