Abstract

http://ssrn.com/abstract=1675435
 
 

References (24)



 


 



Closed Form Solutions of Measures of Systemic Risk


Manfred Jaeger-Ambrozewicz


Hochschule für Technik und Wirtschaft Berlin

December 1, 2010


Abstract:     
This paper derives -- considering a Gaussian setting -- closed form solutions of the statistics that Adrian and Brunnermeier (2010) and Acharya et al. (2009) have suggested as measures of systemic risk to be attached to individual banks. The statistics equal the product of statistic specific beta-coefficients with the mean corrected Value at Risk. It may be relatively easy to convince the regulators to use a closed form solution, especially so if the statistics involved are well known and can easily be communicated to the financial community. Also, the statistics may be analyzed using dynamic econometric models of volatility and correlation (Engle (2009), McNeil et al. (2005, chapter 4.6)).

Number of Pages in PDF File: 15

Keywords: Systemic Risk, Value at Risk, Expected Shortfall, Conditional Value at Risk, Conditional Expected Shortfall, M-Garch, Capital requirements, Regulation, Basel III

JEL Classification: G10, G18, G20, C32, C58

working papers series


Download This Paper

Date posted: September 12, 2010 ; Last revised: November 18, 2012

Suggested Citation

Jaeger-Ambrozewicz, Manfred, Closed Form Solutions of Measures of Systemic Risk (December 1, 2010). Available at SSRN: http://ssrn.com/abstract=1675435 or http://dx.doi.org/10.2139/ssrn.1675435

Contact Information

Manfred Jaeger-Ambrozewicz (Contact Author)
Hochschule für Technik und Wirtschaft Berlin ( email )
Treskowallee 8
Berlin, 10313
Germany
HOME PAGE: http://www.mathfred.de
Feedback to SSRN


Paper statistics
Abstract Views: 1,001
Downloads: 200
Download Rank: 84,145
References:  24

© 2014 Social Science Electronic Publishing, Inc. All Rights Reserved.  FAQ   Terms of Use   Privacy Policy   Copyright   Contact Us
This page was processed by apollo8 in 0.282 seconds