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Du risque des mesures de risque systémique

Author

Listed:
  • Christophe Boucher
  • Patrick Kouontchou
  • Bertrand Maillet

Abstract

The systemic risk measure has emerged as a major concern for the stability of the financial system.?Most of the measures proposed are based on the estimation of conditional quantiles, which are extremely sensitive to the specification and estimation of risk models used.?We propose to correct the systemic risk measures applying a backtest procedure.?Our application on the covar suggests that the model risk is important and that institutions identified as ?systemic? differ, depending on whether we consider or not the corrected version of the systemic risk measure. Classification JEL : C31, C52, G32.

Suggested Citation

  • Christophe Boucher & Patrick Kouontchou & Bertrand Maillet, 2016. "Du risque des mesures de risque systémique," Revue économique, Presses de Sciences-Po, vol. 67(2), pages 263-278.
    • Handle: RePEc:cai:recosp:reco_pr2_0065
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    JEL classification:

    • C31 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Cross-Sectional Models; Spatial Models; Treatment Effect Models; Quantile Regressions; Social Interaction Models
    • C52 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Model Evaluation, Validation, and Selection
    • G32 - Financial Economics - - Corporate Finance and Governance - - - Financing Policy; Financial Risk and Risk Management; Capital and Ownership Structure; Value of Firms; Goodwill

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