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Risk Measure Inference

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Author Info

  • Christophe Hurlin

    ()
    (LEO - Laboratoire d'économie d'Orleans - CNRS : UMR6221 - Université d'Orléans)

  • Sebastien Laurent

    ()
    (IAE Aix-en-Provence - Institut d'Administration des Entreprises - Aix-en-Provence - Université Paul Cézanne - Aix-Marseille III, GREQAM - Groupement de Recherche en Économie Quantitative d'Aix-Marseille - Université de la Méditerranée - Aix-Marseille II - Université Paul Cézanne - Aix-Marseille III - École des Hautes Études en Sciences Sociales [EHESS] - CNRS : UMR7316)

  • Rogier Quaedvlieg

    ()
    (Maastricht University - univ. Maastricht)

  • Stephan Smeekes

    ()
    (Maastricht University - univ. Maastricht)

Abstract

We propose a widely applicable bootstrap based test of the null hypothesis of equality of two firms' Risk Measures (RMs) at a single point in time. The test can be applied to any market-based measure. In an iterative procedure, we can identify a complete grouped ranking of the RMs, with particular application to finding buckets of fi rms of equal systemic risk. An extensive Monte Carlo Simulation shows desirable properties. We provide an application on a sample of 94 U.S. financial institutions using the ΔCoVaR, MES and %SRISK, and conclude only the %SRISK can be estimated with enough precision to allow for a meaningful ranking.

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Bibliographic Info

Paper provided by HAL in its series Working Papers with number halshs-00877279.

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Date of creation: 28 Oct 2013
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Handle: RePEc:hal:wpaper:halshs-00877279

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Related research

Keywords: Bootstrap; Grouped Ranking; Risk Measures; Uncertainty;

This paper has been announced in the following NEP Reports:

References

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  1. Rabemananjara, R & Zakoian, J M, 1993. "Threshold Arch Models and Asymmetries in Volatility," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 8(1), pages 31-49, Jan.-Marc.
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  11. Hansen, Peter Reinhard, 2005. "A Test for Superior Predictive Ability," Journal of Business & Economic Statistics, American Statistical Association, vol. 23, pages 365-380, October.
  12. Sylvain Benoit & Gilbert Colletaz & Christophe Hurlin & Christophe Pérignon, 2013. "A Theoretical and Empirical Comparison of Systemic Risk Measures," Working Papers halshs-00746272, HAL.
  13. Dimitrios Bisias & Mark Flood & Andrew W. Lo & Stavros Valavanis, 2012. "A Survey of Systemic Risk Analytics," Annual Review of Financial Economics, Annual Reviews, vol. 4(1), pages 255-296, October.
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