Pankoke, David - School of Finance, Universität St. Gallen - 2014
This paper evaluates whether sophisticated or simple systemic risk measures are more suitable in identifying which … institutions contribute to systemic risk. In this investigation, DCoVaR, Marginal Expected Shortfall (MES), SRISK and Granger …-Causality Networks are considered as sophisticated systemic risk measures. Market capitalization, total debt, leverage, the stock market …