Denisa Banulescu Radu

University of Orleans

Rue de Blois

B.P. 6739

45067 Orleans Cedex 2, Orleans cedex 2 45067

France

Maastricht School of Business and Economics

P.O. Box 616

Maastricht, 6200 MD

Netherlands

SCHOLARLY PAPERS

3

DOWNLOADS

849

SSRN CITATIONS

6

CROSSREF CITATIONS

4

Scholarly Papers (3)

1.

Backtesting Marginal Expected Shortfall and Related Systemic Risk Measures

Swiss Finance Institute Research Paper No. 19-48 (2019)
Number of pages: 64 Posted: 19 Sep 2019 Last Revised: 08 Apr 2020
Denisa Banulescu Radu, Christophe Hurlin, Jeremy Leymarie and O. Scaillet
University of Orleans, University of Orleans, University of Orleans and Swiss Finance Institute - University of Geneva
Downloads 387 (108,379)
Citation 1

Abstract:

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2.

Which are the SIFIs? A Component Expected Shortfall (CES) Approach to Systemic Risk

Number of pages: 27 Posted: 22 Oct 2012
Elena Dumitrescu, Elena Dumitrescu and Denisa Banulescu Radu
European University InstituteUniversity of Orleans - Laboratoire d'économie d'Orléans and University of Orleans
Downloads 319 (133,819)
Citation 10

Abstract:

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Systemic Risk, Component Expected Shortfall, Marginal Expected Shortfall, Forecasting

3.

Volatility During the Financial Crisis Through the Lens of High Frequency Data: A Realized GARCH Approach

Number of pages: 35 Posted: 25 May 2018
Denisa Banulescu Radu, Peter Reinhard Hansen, Zhuo Huang and Marius Matei
University of Orleans, University of North Carolina (UNC) at Chapel Hill - Department of Economics, National School of Development, Peking University and University of Tasmania
Downloads 143 (280,847)
Citation 2

Abstract:

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Financial Crisis, Volatility, High Frequency Data, Realized GARCH