subprime crisis, known as CoVaR, MES and SRISK. Together, the three methodologies were implemented for the case of Colombian …This paper uses three methodologies for measuring the existence of systemic risk in the Colombian banking system. The … determination of its existence is based on implementing three systemic risk measures widely referenced in academic works after the …

We introduce SRISK to measure the systemic risk contribution of a financial firm. SRISK measures the capital shortfall … of a firm conditional on a severe market decline, and is a function of its size, leverage and risk. We use the measure to … study top US financial institutions in the recent financial crisis. SRISK delivers useful rankings of systemic institutions …

institutions contribute to systemic risk. In this investigation, ΔCoVaR, Marginal Expected Shortfall (MES), SRISK and Granger … model fit. The most suitable sophisticated risk measure seems to be SRISK …This paper evaluates whether sophisticated or simple systemic risk measures are more suitable in identifying which …

systemic risk approaches, from definition to a selection of measurement instruments.Valuable steps have been made towards … producing comprehensive models. However,systemic risk measurement and mitigation remain open issues. …In hindsight of the 2008 crisis, the conspicuous underestimation of systemic risk has turned into a strong incentive …

violations. We can generalize these tests to any MES-based systemic risk measures such as SES, SRISK, or ∆CoVaR. We study their … simulations. An empirical application to a panel of U.S. financial institutions is conducted to assess the validity of MES, SRISK … crises deduced from these backtests. Our indicator quantifies how much is the measurement error issued by a systemic risk …