Loss functions for Loss Given Default model comparison. - Christophe Hurlin; Jérémy Leymarie; Antoine Patin (Eur. J. Oper. Res., 2018)

Backtesting Marginal Expected Shortfall and Related Systemic Risk Measures. - Denisa Banulescu-Radu; Christophe Hurlin; Jérémy Leymarie; Olivier Scaillet (Manag. Sci., 2021)