Tail risk dynamics of banks with score-driven extreme value models

C-Tier

Journal: Journal of Empirical Finance

Year: 2025

Volume: 81

Issue: C

Authors (3)

Fuentes, Fernanda (not in RePEc) Herrera, Rodrigo (not in RePEc) Clements, Adam (Queensland University of Techn...)

Score contribution per author:

0.336 = (α=2.02 / 3 authors) × 0.5x C-tier

α: calibrated so average coauthorship-adjusted count equals average raw count