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Pitfalls in Systemic-Risk Scoring

Journal of Financial Intermediation (2019)

Perignon Christophe, Hurlin Christophe, and Benoit Sylvain

The Risk Map: A New Tool for Validating Risk Models

Journal of Banking and Finance (2013)

Perignon Christophe, Hurlin Christophe, and Colletaz Gilbert

A Theoretical and Empirical Comparison of Systemic Risk Measures

Working Paper (2014)

Perignon Christophe, Hurlin Christophe, Colletaz Gilbert, and Benoit Sylvain

CoMargin

Working Paper (2015)

Perignon Christophe, Hurlin Christophe, Cruz Lopez Jorge, and Harris Jeffrey

Implied Risk Exposures

Review of Finance (2014)

Perignon Christophe, Hurlin Christophe, and Benoit Sylvain

Backtesting Value-at-Risk: A Duration-Based Approach

Journal of Financial Econometrics (2004)

Christoffersen Peter and Pelletier Denis

The Level and Quality of Value-at-Risk Disclosure by Commercial Banks

Journal of Banking and Finance (2010)

Perignon Christophe and Smith Daniel R.

A New Approach to Comparing VaR Estimation Methods

Journal of Derivatives (2008)

Perignon Christophe and Smith Daniel R.

Techniques for Verifying the Accuracy of Risk Management Models

Journal of Derivatives (1995)

Kupiec Paul H.