The Resource Which are the SIFIs? : a Component Expected Shortfall (CES) approach to systemic risk, Georgiana-Denisa Banulescu ; Elena-Ivona Dumitrescu

Which are the SIFIs? : a Component Expected Shortfall (CES) approach to systemic risk, Georgiana-Denisa Banulescu ; Elena-Ivona Dumitrescu

Label
Which are the SIFIs? : a Component Expected Shortfall (CES) approach to systemic risk
Title
Which are the SIFIs?
Title remainder
a Component Expected Shortfall (CES) approach to systemic risk
Statement of responsibility
Georgiana-Denisa Banulescu ; Elena-Ivona Dumitrescu
Creator
Contributor
Author
Subject
Language
eng
Summary
This paper proposes a component approach to systemic risk which allows to decompose the risk of the aggregate financial system (measured by Expected Shortfall, ES) while accounting for the firm characteristics. Developed by analogy with the Component Value-at-Risk concept, our new systemic risk measure, called Component ES (CES), presents several advantages. It is a hybrid measure, which combines the Too Interconnected To Fail and the Too Big To Fail logics. CES relies only on publicly available daily data and encompasses the popular Marginal ES measure. CES can be used to assess the contribution of a firm to systemic risk at a precise date but also to forecast its contribution over a certain period. The empirical application verifies the ability of CES to identify the most systemically risky firms during the 2007-2009 financial crisis. We show that our measure identifies the institutions labeled as SIFIs by the Financial Stability Board
Member of
Cataloging source
IT-FiEUI
http://library.link/vocab/creatorName
Banulescu, Georgiana-Denisa
Index
no index present
Literary form
non fiction
http://library.link/vocab/relatedWorkOrContributorName
  • Dumitrescu, Elena-Ivona
  • Max Weber Programme
Series statement
  • EUI working papers. MWP
  • EUI papers
Series volume
2013/23
http://library.link/vocab/subjectName
  • Financial risk management
  • Financial risk
Label
Which are the SIFIs? : a Component Expected Shortfall (CES) approach to systemic risk, Georgiana-Denisa Banulescu ; Elena-Ivona Dumitrescu
Link
http://hdl.handle.net/1814/28103
Instantiates
Publication
Note
Subjects: Component Expected Shortfall, Marginal Expected Shortfall C22, C53, G01, G32
Carrier category
volume
Carrier category code
  • nc
Carrier MARC source
rdacarrier.
Content category
text
Content type code
  • txt
Content type MARC source
rdacontent.
Control code
FIEb17384345
Dimensions
30 cm.
Extent
29 pages
Media category
unmediated
Media MARC source
rdamedia.
Media type code
  • n
System control number
(OCoLC)871274542
Label
Which are the SIFIs? : a Component Expected Shortfall (CES) approach to systemic risk, Georgiana-Denisa Banulescu ; Elena-Ivona Dumitrescu
Link
http://hdl.handle.net/1814/28103
Publication
Note
Subjects: Component Expected Shortfall, Marginal Expected Shortfall C22, C53, G01, G32
Carrier category
volume
Carrier category code
  • nc
Carrier MARC source
rdacarrier.
Content category
text
Content type code
  • txt
Content type MARC source
rdacontent.
Control code
FIEb17384345
Dimensions
30 cm.
Extent
29 pages
Media category
unmediated
Media MARC source
rdamedia.
Media type code
  • n
System control number
(OCoLC)871274542

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