Dynamic measures of systemic risk

Type Research Project

Funding Bodies

Duration March 1, 2019 - Feb. 28, 2023

  • Institute for Statistics and Mathematics IN (Details)

Tags

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  • 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. open access (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. open access (Details)
2020 Ararat, Çagin, Rudloff, Birgit. 2020. Dual representations for systemic risk measures. Mathematics and Financial Economics. 14 (1), 139-174. (Details)