This article applies a new statistical moment, Trimmed L-comoment, in modelling Expected Shortfall (<italic>ES</italic>) and exploits an empirical study on China's stock markets. In comparison with existing models, out-of-sample forecasts and backtests indicate superior accuracy and precision for the models...

This article empirically tests the 'too non-traditional to fail' argument by exploring the determinants of systemic risk for the BRICs banks. The argument is found not applicable for the BRICs banks, since the systemic risk is merely determined by balance-sheet characteristics, rather than...