Estimation of the marginal expected shortfall under asymptotic independence [PDF]
Scandinavian Journal of Statistics, 2019 AbstractWe study the asymptotic behavior of the marginal expected shortfall when the two random variables are asymptotic independent but positively associated, which is modeled by the so‐called tail dependent coefficient. We construct an estimator of the marginal expected shortfall, which is shown to be asymptotically normal.
Musta, Eni, Cai, Juan Juan
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Backtesting Marginal Expected Shortfall and Related Systemic Risk Measures
SSRN Electronic Journal, 2019 This paper proposes an original approach for backtesting systemic risk measures. This backtesting approach makes it possible to assess the systemic risk measure forecasts used to identify the financial institutions that contribute the most to the overall risk in the financial system.
Banulescu-Radu, Denisa +3 more
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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
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On joint marginal expected shortfall and associated contribution risk measures
Quantitative FinanceSystemic risk is the risk that a company- or industry-level risk could trigger a huge collapse of another or even the whole institution. Various systemic risk measures have been proposed in the literature to quantify the domino and (relative) spillover effects induced by systemic risks such as the well-known CoVaR, CoES, MES and CoD risk measures, and ...
Yiying Zhang
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Marginal expected shortfall inference under multivariate regular variation
Journal of Statistical Planning and InferenceMarginal expected shortfall is unquestionably one of the most popular systemic risk measures. Studying its extreme behaviour is particularly relevant for risk protection against severe global financial market downturns. In this context, results of statistical inference rely on the bivariate extreme values approach, disregarding the extremal dependence ...
Padoan, Simone A. +2 more
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Worst-Case Expected Shortfall with Univariate and Bivariate Marginals [PDF]
INFORMS Journal on Computing, 2021 Computing and minimizing the worst-case bound on the expected shortfall risk of a portfolio given partial information on the distribution of the asset returns is an important problem in risk management. One such bound that been proposed is for the worst-case distribution that is “close” to a reference distribution where closeness in distance among ...
Anulekha Dhara +2 more
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Developing a Model for Ranking Mutual Funds in Iran Using the Systematic Risk Assessment Approach Based on LTD, SES, MES, and CoVaR Models [PDF]
تحقیقات مالی, 2021 Objective: The simplest thing that may make an amateur investor invest in a fund is simply to look at the fund’s return that can be calculated very easily. Capital market experts have always tried to make investors aware of the threat of making judgments
Behnam Chavoshi +2 more
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Investigating the Effects of Strength of Corporate Governance Mechanisms on Systemic Risk for Financial Institutions Listed on Tehran Stock Exchange [PDF]
تحقیقات مالی, 2020 Objective: The systemic risk is the risk of a crisis in the financial sector and its transmission to the economy. Due to the importance of social damage caused by the financial crisis, it is necessary to pay attention to the systemic risk and its factors.
Vali Nadi Qomi +2 more
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Modeling System Risk in the South African Insurance Sector: A Dynamic Mixture Copula Approach
International Journal of Financial Studies, 2021 In this paper, a dynamic mixture copula model is used to estimate the marginal expected shortfall in the South African insurance sector. We also employ the generalized autoregressive score model (GAS) to capture the dynamic asymmetric dependence between ...
John Weirstrass Muteba Mwamba +1 more
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Estimation of the Marginal Expected Shortfall: the Mean When a Related Variable is Extreme [PDF]
Journal of the Royal Statistical Society Series B: Statistical Methodology, 2012 SummaryDenote the loss return on the equity of a financial institution as X and that of the entire market as Y. For a given very small value of p > 0, the marginal expected shortfall (MES) is defined as E{X|Y>QY(1−p)}, where Q Y(1 − p) is the (1 − p)th quantile of the distribution of Y.
Cai, J. +3 more
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