24-069/III - Joint extreme Value-at-Risk and Expected Shortfall dynamics with a single integrated tail shape parameter

• Authors
  Enzo D'Innocenzo, University of Bologna; Andre Lucas, Vrije Universiteit Amsterdam; Bernd Schwaab, European Central Bank; Xin Zhang, Sveriges Riksbank
• Publication date
  November 8, 2024

• Keywords
  dynamic tail risk, integrated score-driven models, extreme value theory
• JEL
  C22, G11