We put forward a Merton-type multi-factor portfolio model for assessing banks’ contributions to systemic risk. This … model accounts for the major drivers of banks’ systemic relevance: size, default risk and correlation of banks’ assets as a … proxy for interconnectedness. We measure systemic risk in terms of the portfolio expected shortfall (ES). Banks’ (marginal …

We put forward a Merton-type multi-factor portfolio model for assessing banks' contributions to systemic risk. This … model accounts for the major drivers of banks' systemic relevance: size, default risk and correlation of banks' assets as a … proxy for interconnectedness. We measure systemic risk in terms of the portfolio expected shortfall (ES). Banks' (marginal …

We put forward a framework for measuring systemic risk and attributing it to individual banks. Systemic risk is … measured as the expected loss to depositors and investors when a low-probability systemic event occurs. The risk contributions … are calculated based on derivatives of the systemic risk measure and, thus, ensure a full risk allocation among …