On Joint Marginal Expected Shortfall and Associated Contribution Risk Measures

Battle Count: 89

The paper introduces novel risk measures that can be valuable for assessing systemic risk and spillover effects in financial markets, which is crucial for quantitative trading strategies, especially those involving multiple assets or markets

Implementation requires advanced statistical knowledge, copula modeling, and handling of large financial datasets. However, the paper provides clear mathematical formulations and empirical procedures

The paper provides detailed mathematical formulations and empirical procedures, enhancing reproducibility