Results 21 to 30 of about 1,271 (233)
Systems, 2023 By employing two systemic risk methods, the marginal expected shortfall (MES) and the component expected shortfall (CES), this paper measures the systemic risk level of all sectors in China’s financial market from 2014 to 2022; thereby, it researches the
Ao Lei, Hui Zhao, Yixiang Tian
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Administrative Sciences, 2020 Balance-sheet indicators may reflect, to a great extent, bank fragility. This inherent relationship is the object of theoretical models testing for balance-sheet vulnerabilities.
Cristina Zeldea
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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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Performance Evaluation of Systemic Risk Measures in Tehran Stock Exchange [PDF]
راهبرد مدیریت مالیAfter the 2008 financial crisis, the importance of studying systemic risk became more apparent. In this regard, various metrics have been presented to measure systemic risk, but the main question is which metric has a better and more comprehensive ...
Mohammad Azad +3 more
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How Useful is the Marginal Expected Shortfall for the Measurement of Systemic Exposure? A Practical Assessment [PDF]
SSRN Electronic Journal, 2011 We explore the practical relevance from a supervisor's viewpoint of a recent but already popular market-based indicator of the systemic importance of financial institutions, the marginal expected shortfall (MES). The MES of an institution can be defined as its expected equity loss when the market itself is in its left tail.
Idier, Julien +2 more
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Sovereign bond-backed securities: A VAR-for-VaR and marginal expected shortfall assessment [PDF]
Journal of Empirical Finance, 2018 Abstract The risk reducing benefits of the sovereign bond-backed security (SBBS) proposal of Brunnermeier et al. (2016) have been assessed in terms of the likely losses that different kinds of holders would suffer under simulated default scenarios.
de Sola Perea, Maite +3 more
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Measuring systemic risk in the financial institution via dynamic conditional correlation and delta conditional value at risk mode and bank rating [PDF]
Journal of Asset Management and Financing, 2019 Systematic risk (in economics often called aggregate risk or undiversifiable risk) is vulnerability to events which affect aggregate outcomes such as broad market returns, total economy-wide resource holdings, or aggregate income.
Reza Eivazloo, mehdi rameshg
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Mathematics, 2020 The semi-nonparametric (SNP) modeling of the return distribution has been proved to be a flexible and accurate methodology for portfolio risk management that allows two-step estimation of the dynamic conditional correlation (DCC) matrix. For this SNP-DCC
Inés Jiménez +3 more
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Dependent Metaverse Risk Forecasts with Heteroskedastic Models and Ensemble Learning
Risks, 2023 Metaverses have been evolving following the popularity of blockchain technology. They build their own cryptocurrencies for transactions inside their platforms.
Khreshna Syuhada +2 more
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A Bayesian Entropy Approach to Sectoral Systemic Risk Modeling
Entropy, 2020 We investigate the dynamics of systemic risk of European companies using an approach that merges paradigmatic risk measures such as Marginal Expected Shortfall, CoVaR, and Delta CoVaR, with a Bayesian entropy estimation method. Our purpose is to bring to
Radu Lupu +3 more
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