Idier, Julien; Lamé, Gildas; Mésonnier, Jean-Stéphane - In: Journal of Banking & Finance 47 (2014) C, pp. 134-146
We explore the practical relevance from a supervisor’s perspective of a popular market-based indicator of the exposure 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...
