Recent literature has proposed new methods for measuring the systemic risk of financial institutions based on observed … stock returns. In this paper we examine the reliability and robustness of such risk measures, focusing on CoVaR, marginal … expected shortfall, and option-based tail risk estimates. We show that CoVaR exhibits undesired characteristics in the way it …

Please note that this paper has been replaced by "Pitfalls in the Use of Systemic Risk Measures," available via 'http …://ssrn.com/abstract=2593257' http://ssrn.com/abstract=2593257.Recent literature has proposed new methods for measuring the systemic risk of … financial institutions based on observed stock returns. In this paper we examine the reliability and robustness of such risk …

Recent literature has proposed new methods for measuring the systemic risk of financial institutions based on observed … stock returns. In this paper we examine the reliability and robustness of such risk measures, focusing on CoVaR, marginal … expected shortfall, and option-based tail risk estimates. We show that CoVaR exhibits undesired characteristics in the way it …