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How useful is the marginal expected shortfall for the measurement of systemic exposure? A practical assessment

Idier, Julien; Lamé, Gildas; Mésonnier, Jean-Stéphane - European Central Bank - 2013

of a financial institution to systemic risk, the marginal expected shortfall (MES). The MES of an institution can be … defined as its expected equity loss when the market itself is in its left tail. We estimate the dynamic MES recently proposed … by Brownlees and Engle (2011) for a panel of 65 large US banks over the last decade and a half. Running panel regressions …

Persistent link: https://www.econbiz.de/10010686754

A Bayesian approach for more reliable tail risk forecasts

Li, Dan; Clements, Adam; Drovandi, Christopher - In: Journal of financial stability 64 (2023), pp. 1-22

Persistent link: https://www.econbiz.de/10014284929

Multiple risk measures for multivariate dynamic heavy-tailed models

Bernardi, Mauro; Maruotti, Antonello; Petrella, Lea - In: Journal of empirical finance 43 (2017), pp. 1-32

Persistent link: https://www.econbiz.de/10011817885

Systemic tail risk: high-frequency measurement, evidence and implications

Erdemlioglu, Deniz; Neely, Christopher J.; Yang, Xiye - 2023

Persistent link: https://www.econbiz.de/10014320683

Systemic risk in the Chinese financial system : a panel Granger causality analysis

Cincinelli, Peter; Pellini, Elisabetta; Urga, Giovanni - In: International review of financial analysis 82 (2022), pp. 1-23

Persistent link: https://www.econbiz.de/10013431113

A refined measure of conditional maximum drawdown

Rossello, Damiano; LoCascio, Silvestro - In: Risk management : an international journal 23 (2021) 4, pp. 301-321

Persistent link: https://www.econbiz.de/10012792822

The impact of systemic risk on the diversification benefits of a risk portfolio

Busse, Marc; Dacorogna, Michel M.; Katz, Marie - In: Risks : open access journal 2 (2014) 3, pp. 260-276

Risk diversification is the basis of insurance and investment. It is thus crucial to study the effects that could limit it. One of them is the existence of systemic risk that affects all of the policies at the same time. We introduce here a probabilistic approach to examine the consequences of...

Persistent link: https://www.econbiz.de/10010399713

Spillover dynamics for systemic risk measurement using spatial financial time series models : conference paper

Blasques, Francisco; Koopman, Siem Jan; Lucas, André; … - 2014

A new model for time-varying spatial dependencies is introduced. It forms an extension to the popular spatial lag model and can be estimated conveniently by maximum likelihood. The spatial dependence parameter is assumed to follow a generalized autoregressive score (GAS) process. The theoretical...

Persistent link: https://www.econbiz.de/10010491085

Spillover dynamics for systemic risk measurement using spatial financial time series models

Blasques, Francisco; Koopman, Siem Jan; Lucas, André; … - 2014

We introduce a new model for time-varying spatial dependence. The model extends the well-known static spatial lag model. All parameters can be estimated conveniently by maximum likelihood. We establish the theoretical properties of the model and show that the maximum likelihood estimator for the...

Persistent link: https://www.econbiz.de/10010391531

Portfolio selection in the presence of systemic risk

Biglova, Almira; Ortobelli, Sergio; Fabozzi, Frank J. - In: The journal of asset management 15 (2014) 5, pp. 285-299

Persistent link: https://www.econbiz.de/10010476238