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Found 4 papers, 1 papers with code
Regressions under Adverse Conditions
We introduce a new regression method that relates the mean of an outcome variable to covariates, given the "adverse condition" that a distress variable falls in its tail.
Dynamic CoVaR Modeling
In this article, we propose joint dynamic forecasting models for the Value-at-Risk (VaR) and CoVaR.
On Testing Equal Conditional Predictive Ability Under Measurement Error
For such exactly robust loss functions, forecast loss differences are on average unaffected by the use of proxy variables and, thus, inference on conditional predictive ability can be carried out as usual.
Backtesting Systemic Risk Forecasts using Multi-Objective Elicitability
Systemic risk measures such as CoVaR, CoES and MES are widely-used in finance, macroeconomics and by regulatory bodies.
