Taking the risk out of systemic risk measurement I
AbstractAn emerging literature proposes using conditional value at risk and marginal expected shortfall to measure financial institution systemic risk. We identify two weaknesses in this literature: (1) it lacks formal statistical hypothesis tests; and, (2) it confounds systemic and systematic risk. We address these weaknesses by introducing a null hypothesis that stock returns are normally distributed.
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Bibliographic InfoPaper provided by American Enterprise Institute in its series Working Papers with number 39862.
Date of creation: Jan 2014
Date of revision:
AEI Economic Policy Working Paper Series;
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This paper has been announced in the following NEP Reports:
- NEP-ALL-2014-01-17 (All new papers)
- NEP-BAN-2014-01-17 (Banking)
- NEP-RMG-2014-01-17 (Risk Management)
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