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A Theoretical and Empirical Comparison of Systemic Risk Measures: MES versus CoVaR · Study

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PreprintA Theoretical and Empirical Comparison of Systemic Risk Measures: MES versus CoVaR

Sylvain Benoît2011

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Preprintgreen2011

A Theoretical and Empirical Comparison of Systemic Risk Measures: MES versus CoVaR

Sylvain Benoît · Gilbert Colletaz Z · Christophe Hurlin

102 citations·0/0 files stored·SSRN Electronic Journal

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Banking stability, regulation, efficiency Financial Risk and Volatility Modeling Global Financial Regulation and Crises

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References

1999Coherent Measures of Risk 2002Dynamic Conditional Correlation 2012Econometric measures of connectedness and systemic risk in the finance and insurance sectors 2000Value At Risk: The New Benchmark for Managing Financial Risk 2012Capital Shortfall: A New Approach to Ranking and Regulating Systemic Risks 2010SRISK: A Conditional Capital Shortfall Measure of Systemic Risk 2012Systemic Risk Measurement: Multivariate GARCH Estimation of CoVaR 2009A framework for assessing the systemic risk of major financial institutions

Cited by

2015Systemic risk of insurers around the globe 2015Bank ownership, financial segments and the measurement of systemic risk: An application of CoVaR 2020Systemic risk spillovers between crude oil and stock index returns of G7 economies: Conditional value-at-risk and marginal expected shortfall approaches 2017Measuring systemic risk: A comparison of alternative market-based approaches 2016The information in systemic risk rankings

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2014Assessing the contribution of banks, insurance and other financial services to systemic riskarticle · 9 shared references 2016Systemic risk, financial markets, and performance of financial institutionsarticle · 9 shared references 2015Bank ownership, financial segments and the measurement of systemic risk: An application of CoVaRarticle · 9 shared references 2015Are Market‐Based Measures of Global Systemic Importance of Financial Institutions Useful to Regulators and Supervisors?article · 9 shared references 2020Backtesting Marginal Expected Shortfall and Related Systemic Risk Measuresarticle · 9 shared references 2016An analysis of the literature on systemic financial risk: A surveyarticle · 8 shared references

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Year2011

Typepreprint

Published2011-01-01

VenueSSRN Electronic Journal

ISSN-L1556-5068

Languageen

Citations102

Files0 public / 0

ShelfBanking stability, regulation, efficiency

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doi10.2139/ssrn.1973950

openalex_workW2099821908

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2015

Are Market‐Based Measures of Global Systemic Importance of Financial Institutions Useful to Regulators and Supervisors?

2020Backtesting Marginal Expected Shortfall and Related Systemic Risk Measures

2017Analysing Systemic Risk in the Chinese Banking System