The co-dependence between assets tends to increase when the market declines. This paper develops a correlation measure … focusing on market declines using the expected shortfall (ES), referred to as the ES-implied correlation, to improve the … existing value at risk (VaR)-implied correlation. Simulations which define period-by-period true correlations show that the ES …

for authors to develop appropriate measurement techniques.Given the continuously changing nature of the financial system …, measurement tools have developed quickly to address diverse and progressively more complex aspects, thereby adding to the issue of … systemic risk approaches, from definition to a selection of measurement instruments.Valuable steps have been made towards …