How useful is the marginal expected shortfall for the measurement of systemic exposure? A practical assessment
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- Idier, Julien & Lamé, Gildas & Mésonnier, Jean-Stéphane, 2014. "How useful is the Marginal Expected Shortfall for the measurement of systemic exposure? A practical assessment," Journal of Banking & Finance, Elsevier, vol. 47(C), pages 134-146.
- Idier, J. & Lamé, G. & Mésonnier, J S., 2011. "How useful is the Marginal Expected Shortfall for the measurement of systemic exposure? A practical assessment," Working papers 348, Banque de France.
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More about this item
Keywordsbalance sheet ratios; MES; panel; systemic risk; tail correlation;
- C5 - Mathematical and Quantitative Methods - - Econometric Modeling
- E44 - Macroeconomics and Monetary Economics - - Money and Interest Rates - - - Financial Markets and the Macroeconomy
- G2 - Financial Economics - - Financial Institutions and Services
NEP fieldsThis paper has been announced in the following NEP Reports:
- NEP-ALL-2013-08-23 (All new papers)
- NEP-BAN-2013-08-23 (Banking)
- NEP-RMG-2013-08-23 (Risk Management)
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