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How useful is the Marginal Expected Shortfall for the measurement of systemic exposure? A practical assessment

Citations

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Cited by:

  1. Somnath Chatterjee & Marea Sing, 2021. "Measuring Systemic Risk in South African Banks," Working Papers 11004, South African Reserve Bank.
  2. Michal Skorepa & Jakub Seidler, 2015. "Capital buffers based on banks’ domestic systemic importance: selected issues," Journal of Financial Economic Policy, Emerald Group Publishing Limited, vol. 7(3), pages 207-220, August.
  3. María Cantero Sáiz & Sergio Sanfilippo Azofra & Begoña Torre Olmo, 2019. "The single supervision mechanism and contagion between bank and sovereign risk," Journal of Regulatory Economics, Springer, vol. 55(1), pages 67-106, February.
  4. S. Tavolaro & F. Visnovsky, 2014. "What is the information content of the SRISK measure as a supervisory tool?," Débats économiques et financiers 10, Banque de France.
  5. Mikhail Stolbov, 2017. "Assessing systemic risk and its determinants for advanced and major emerging economies: the case of ΔCoVaR," International Economics and Economic Policy, Springer, vol. 14(1), pages 119-152, January.
  6. Raffaella Calabrese & Johan A. Elkink & Paolo S. Giudici, 2017. "Measuring bank contagion in Europe using binary spatial regression models," Journal of the Operational Research Society, Palgrave Macmillan;The OR Society, vol. 68(12), pages 1503-1511, December.
  7. Mühlnickel, Janina & Weiß, Gregor N.F., 2015. "Consolidation and systemic risk in the international insurance industry," Journal of Financial Stability, Elsevier, vol. 18(C), pages 187-202.
  8. Denisa Banulescu-Radu & Christophe Hurlin & Jérémy Leymarie & Olivier Scaillet, 2021. "Backtesting Marginal Expected Shortfall and Related Systemic Risk Measures," Management Science, INFORMS, vol. 67(9), pages 5730-5754, September.
  9. Bui, Dien Giau & Hasan, Iftekhar & Lin, Chih-Yung & Nguyen, Hong Thoa, 2023. "Short-selling threats and bank risk-taking: Evidence from the financial crisis," Journal of Banking & Finance, Elsevier, vol. 150(C).
  10. Shaowei Chen & Long Guo & Weike Zhang, 2023. "Financial Risk Measurement and Spatial Spillover Effects Based on an Imported Financial Risk Network: Evidence from Countries along the Belt and Road," Mathematics, MDPI, vol. 11(6), pages 1-25, March.
  11. Kabundi, Alain & De Simone, Francisco Nadal, 2020. "Monetary policy and systemic risk-taking in the euro area banking sector," Economic Modelling, Elsevier, vol. 91(C), pages 736-758.
  12. Jon Danielsson & Kevin R. James & Marcela Valenzuela & Ilknur Zer, 2016. "Can We Prove a Bank Guilty of Creating Systemic Risk? A Minority Report," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 48(4), pages 795-812, June.
  13. Bernard, Carole & Cui, Xuecan, 2023. "Impact of systemic risk regulation on optimal policies and asset prices," Journal of Banking & Finance, Elsevier, vol. 154(C).
  14. Aymen Mselmi & Imen Mahmoud, 2023. "Systemic Risk: A Comparative Study between Public and Private Banks," International Journal of Economics and Financial Issues, Econjournals, vol. 13(3), pages 117-125, May.
  15. Brownlees, Christian & Chabot, Ben & Ghysels, Eric & Kurz, Christopher, 2020. "Back to the future: Backtesting systemic risk measures during historical bank runs and the great depression," Journal of Banking & Finance, Elsevier, vol. 113(C).
  16. Paola Cerchiello & Paolo Giudici, 2014. "Financial big data analysis for the estimation of systemic risks," DEM Working Papers Series 086, University of Pavia, Department of Economics and Management.
  17. Clancy, Daragh & Gabriele, Carmine & Žigraiová, Diana, 2022. "Sovereign bond market spillovers from crisis-time developments in Greece," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 78(C).
  18. Elien Meuleman & Rudi Vander Vennet, 2022. "Macroprudential Policy, Monetary Policy, and Euro Zone Bank Risk," International Journal of Central Banking, International Journal of Central Banking, vol. 18(4), pages 1-52, October.
  19. Leroy, Aurélien & Lucotte, Yannick, 2017. "Is there a competition-stability trade-off in European banking?," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 46(C), pages 199-215.
  20. Sylvain Benoît & Gilbert Colletaz & Christophe Hurlin & Christophe Pérignon, 2013. "A Theoretical and Empirical Comparison of Systemic Risk Measures," Working Papers halshs-00746272, HAL.
  21. Popescu, Alexandra & Turcu, Camelia, 2017. "Sovereign debt and systemic risk in the eurozone," Economic Modelling, Elsevier, vol. 67(C), pages 275-284.
  22. repec:zbw:bofrdp:2018_013 is not listed on IDEAS
  23. Olivier de Bandt & Jean-Cyprien Héam & Claire Labonne & Santiago Tavolaro, 2015. "La mesure du risque systémique après la crise financière," Revue économique, Presses de Sciences-Po, vol. 66(3), pages 481-500.
  24. Jokivuolle, Esa & Tunaru, Radu & Vioto, Davide, 2018. "Testing the systemic risk differences in banks," Bank of Finland Research Discussion Papers 13/2018, Bank of Finland.
  25. O. de Bandt & J.-C. Héam & C. Labonne & S. Tavolaro, 2013. "Measuring Systemic Risk in a Post-Crisis World," Débats économiques et financiers 6, Banque de France.
  26. Martin Eling & David Antonius Pankoke, 2016. "Systemic Risk in the Insurance Sector: A Review and Directions for Future Research," Risk Management and Insurance Review, American Risk and Insurance Association, vol. 19(2), pages 249-284, September.
  27. Cincinelli, Peter & Pellini, Elisabetta & Urga, Giovanni, 2021. "Leverage and systemic risk pro-cyclicality in the Chinese financial system," International Review of Financial Analysis, Elsevier, vol. 78(C).
  28. Meuleman, Elien & Vander Vennet, Rudi, 2020. "Macroprudential policy and bank systemic risk," Journal of Financial Stability, Elsevier, vol. 47(C).
  29. Cincinelli, Peter & Pellini, Elisabetta & Urga, Giovanni, 2022. "Systemic risk in the Chinese financial system: A panel Granger causality analysis," International Review of Financial Analysis, Elsevier, vol. 82(C).
  30. Jin, Xisong & Nadal De Simone, Francisco, 2020. "Monetary policy and systemic risk-taking in the Euro area investment fund industry: A structural factor-augmented vector autoregression analysis," Journal of Financial Stability, Elsevier, vol. 49(C).
  31. Eugenio Cerutti & Stijn Claessens, 2017. "The Great Cross-Border Bank Deleveraging: Supply Constraints and Intra-Group Frictions," Review of Finance, European Finance Association, vol. 21(1), pages 201-236.
  32. Pankoke, David, 2014. "Sophisticated vs. Simple Systemic Risk Measures," Working Papers on Finance 1422, University of St. Gallen, School of Finance.
  33. Shaw, Frances & Dunne, Peter G., 2017. "Investment Fund Risk: The Tale in the Tails," Research Technical Papers 01/RT/17, Central Bank of Ireland.
  34. Kolari, James W. & López-Iturriaga, Félix J. & Sanz, Ivan Pastor, 2020. "Measuring systemic risk in the U.S. Banking system," Economic Modelling, Elsevier, vol. 91(C), pages 646-658.
  35. Curcio, Domenico & Gianfrancesco, Igor & Vioto, Davide, 2023. "Climate change and financial systemic risk: Evidence from US banks and insurers," Journal of Financial Stability, Elsevier, vol. 66(C).
  36. Jokivuolle, Esa & Tunaru, Radu & Vioto, Davide, 2018. "Testing the systemic risk differences in banks," Research Discussion Papers 13/2018, Bank of Finland.
  37. Fan, Xiaoyun & Wang, Yedong & Wang, Daoping, 2021. "Network connectedness and China's systemic financial risk contagion——An analysis based on big data," Pacific-Basin Finance Journal, Elsevier, vol. 68(C).
  38. Stefano Bonini & Ali Taatian, 2023. "Dual holding and bank risk," The Financial Review, Eastern Finance Association, vol. 58(4), pages 735-763, November.
  39. Mikhail Stolbov & Maria Shchepeleva, 2018. "Systemic risk in Europe: deciphering leading measures, common patterns and real effects," Annals of Finance, Springer, vol. 14(1), pages 49-91, February.
  40. Paola Cerchiello & Paolo Giudici, 2014. "Conditional graphical models for systemic risk measurement," DEM Working Papers Series 087, University of Pavia, Department of Economics and Management.
  41. Asimit, Alexandru V. & Li, Jinzhu, 2016. "Extremes for coherent risk measures," Insurance: Mathematics and Economics, Elsevier, vol. 71(C), pages 332-341.
  42. Pham, Thach N. & Powell, Robert & Bannigidadmath, Deepa, 2021. "Systemically important banks in Asian emerging markets: Evidence from four systemic risk measures," Pacific-Basin Finance Journal, Elsevier, vol. 70(C).
  43. Nadal De Simone, Francisco, 2021. "Measuring the deadly embrace: Systemic and sovereign risks," Research in International Business and Finance, Elsevier, vol. 56(C).
  44. Silva, Walmir & Kimura, Herbert & Sobreiro, Vinicius Amorim, 2017. "An analysis of the literature on systemic financial risk: A survey," Journal of Financial Stability, Elsevier, vol. 28(C), pages 91-114.
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