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
exaly +3 more sources
Estimation of Expectile‐Based Marginal Expected Shortfall Under Asymptotic Independence
StatABSTRACT The expectile‐based marginal expected shortfall (XMES) is an analogue of the quantile‐based marginal expected shortfall (QMES). We study the asymptotic behaviour of XMES when the underlying random variables are asymptotically independent.
Liujun Chen
exaly +3 more sources
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
openaire +2 more sources
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
doaj +1 more source
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
doaj +1 more source
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
doaj +1 more source
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
openaire +6 more sources
THE DETERMINANTS OF SYSTEMIC RISK: EVIDENCE FROM INDONESIAN COMMERCIAL BANKS
Buletin Ekonomi Moneter dan Perbankan, 2020 This paper examines the determinants of systemic risk across Indonesian commercial banks using quarterly data from 2001Q4 to 2017Q4. Employing four measures of systemic risk, namely value-at-risk (VaR), historical marginal expected shortfall (MESH ...
Mutiara Aini +1 more
doaj +1 more source
A Systemic Contribution and Vulnerability of Non-financial Firms: A Cross Industry Analysis
NUML International Journal of Business & Management, 2023 This paper quantifies the systemic importance of non-financial firms by assessing their contribution and vulnerability to systemic shocks. We apply two firm-specific measures, namely Delta CoVaR (ΔCoVaR) and Marginal Expected Shortfall (MES), to ...
Zafar Azam, Abdul Raheman, Abdul Rashid
doaj +3 more sources
The Role of Capital in Financial Institutions and Systemic Risk [PDF]
پژوهشهای تجربی حسابداری, 2014 This research estimates a measure of systemic risk, namely Systemic Expected Shortfall, as the aggregate amount of capital that financial institutions need in order to offset a certain fraction of liabilities when the financial system is undercapitalized.
Seyed Ali Hoseini +1 more
doaj +1 more source