Banulescu, Georgiana-Denisa; Dumitrescu, Elena-Ivona - In: Journal of Banking & Finance 50 (2015) C, pp. 575-588
This paper proposes a component approach to systemic risk which allows to decompose the risk of the aggregate financial system (measured by Expected Shortfall) while accounting for the firm characteristics. Developed by analogy with the Component Value-at-Risk concept, our new systemic risk...