Conditional marginal expected shortfall [PDF]
Extremes, 2021 zbMATH Open Web Interface contents unavailable due to conflicting licenses.
Jing Qin +2 more
exaly +4 more sources
South African Banks’ Cross-Border Systemic Risk Exposure: An Application of the GAS Copula Marginal Expected Shortfall [PDF]
International Journal of Financial Studies, 2022 Systemic susceptibility highlights the extent to which a banking sector is sensitive to negative shocks. Policymakers and regulators’ objective is to avoid financial crises, and even though they can somewhat control local conditions, internationally ...
Mathias Mandla Manguzvane +1 more
doaj +3 more sources
A Weissman-type estimator of the conditional marginal expected shortfall
Econometrics and Statistics, 2023 The marginal expected shortfall is an important risk measure in finance and actuarial science, which has been extended recently to the case where the random variables of main interest are observed together with a covariate. This leads to the concept of conditional marginal expected shortfall for which an estimator is proposed allowing extrapolation ...
Jing Qin +2 more
exaly +5 more sources
Determinan risiko sistemik perbankan Indonesia: Aplikasi metode marginal expected shortfall
Jurnal Ekonomi dan Bisnis, 2020 Riset ini memiliki tujuan untuk melakukan pengukuran risiko sistemik melalui aplikasi metode yang dapat mengkalkulasi prediksi kerugian modal pada bank tatkala pasar dilanda krisis, yaitu Marginal Expected Shortfall (MES) serta menguji faktor-faktor yang
Mutiara Hikmah, Buddi Wibowo
doaj +3 more sources
Systemic risk allocation using the asymptotic marginal expected shortfall
Journal of Banking and Finance, 2021 This paper defines asymptotic marginal expected shortfall (AMES) for banks within a financial system and provides corresponding estimation method based on multivariate extreme value theory. The estimation method does not assume a specific dependence structure among bank equity returns.
Qin, X, Zhou, Chen
exaly +2 more sources
Forecasting with a Bivariate Hysteretic Time Series Model Incorporating Asymmetric Volatility and Dynamic Correlations [PDF]
EntropyThis study explores asymmetric volatility structures within multivariate hysteretic autoregressive (MHAR) models that incorporate conditional correlations, aiming to flexibly capture the dynamic behavior of global financial assets. The proposed framework
Hong Thi Than
doaj +2 more sources
Modified marginal expected shortfall under asymptotic dependence [PDF]
Biometrika, 2017 We propose an estimator of the marginal expected shortfall by considering a log transformation of a variable which has an infinite expectation. We establish the asymptotic normality of our estimator under general assumptions. A simulation study suggests that the estimation procedure is robust with respect to the choice of tuning parameters.
A Guillou
exaly +2 more sources
Explaining the Systemic Risk Model Using the Marginal Expected Shortfall Approach (MES) for the Banks Listed on the Tehran Stock Exchange [PDF]
برنامهریزی و بودجه, 2020 The purpose of this study is to explain the Systemic Risk Model with Marginal Expected Shortfall Approach (MES) as regards the banks listed on the Tehran Stock Exchange. The research population includes 15 banks that were present in Tehran Stock Exchange
Kourosh Asayesh +3 more
doaj +2 more sources
A Framework for Measuring and Predicting Systemic Risk with the Marginal Expected Shortfall Approach (MES) in Iran Capital Market [PDF]
راهبرد مدیریت مالی, 2018 In this research, it is attempted to present a framework for estimating and predicting systemic risk in Iran capital market using the marginal expected shortfall approach (MES), which has recently been considered in systemic risk literature.
jafar babajani +2 more
doaj +2 more sources
Marginal expected shortfall risk measure for time series [PDF]
Statistical Inference for Stochastic ProcessesAbstract We consider the estimation of the marginal expected shortfall $${\mathbb {E}}\left( X_h | Y_0>U_Y(1/p)\right) $$ E
Jing Qin +2 more
exaly +2 more sources