In this paper we propose a measure of systemic risk in the financial sector, the expected systemic shortfall (ESS) indicator. The ESS-indicator is the product of the probability of a systemic default event and the expected tail loss in case this systemic event occurs. We compute the indicator...

This paper analyses the systemic risk in an emerging market context, with two innovations. It uses the average of the percentile ranking of three widely used measures of systemic risk of a firm to calculate a single systemic risk index (SRI) for the firm. It then uses the SRI to identify...

The recent global financial crisis has taught us one tough and important lesson that, there is a pressing need for containing the systemic risk in the financial system. However, prior to containing this risk and form the regulations we need to measure this risk properly. This research has...

Its conceptual appeal has made the Conditional Value at Risk (CoVaR) one of the most influential systemic risk indicators. Despite its popularity, an outstanding methodological challenge may hamper the CoVaRs’ accuracy in measuring the time-series dimension of systemic risk. The dynamics of...

During the 2007-2009 financial crisis certain events in the American financial system affected financial markets around the globe. Moreover, since the onset of the euro zone sovereign debt crisis, the systemic risk in Europe also appeared to affect the banking sector risk in other regions. While...

In this paper we study systemic risks in the Korean banking sector by using two famous systemic risk measures – the MES (marginal expected shortfall) and CoVaR. To compute both measures we employ Engle's dynamic conditional correlation model. Our empirical analysis shows, first, that although...

Eigenfunction and quadrature methods have been extensively used in asset pricing as a forecasting tool. In contrast, their application to systemic risk has been limited. With the advent of high frequency options panels we document a battery of measures that can be used to measure and forecast...