|
|
|
|
||||
|
||||
On the Evaluation of Marginal Expected ShortfallMassimiliano CaporinUniversity of Padova - Department of Economics and Management "Marco Fanno" Paolo Santucci de MagistrisUniversity of Aarhus - CREATES October 15, 2010 Abstract: In the analysis of systemic risk, Marginal Expected Shortfall may be considered to evaluate the marginal impact of a single stock on the market Expected Shortfall. These quantities are generally computed using log-returns, in particular when there is also a focus on returns conditional distribution. In this case, the market log-return is only approximately equal to the weighed sum of equities log-returns. We show that the approximation error is large during turbulent market phases, with a subsequent impact on Marginal Expected Shortfall. We then suggest how to improve the evaluation of Marginal Expected Shortfall by means of a second order approximation.
Number of Pages in PDF File: 7 Keywords: Marginal Expected Shortfall, Log-Returns, Systemic Risk JEL Classification: C18, C58, G10 working papers seriesDate posted: October 17, 2010Suggested CitationContact Information
|
|
|||||||||||||||||||||||||||||
© 2013 Social Science Electronic Publishing, Inc. All Rights Reserved.
FAQ
Terms of Use
Privacy Policy
Copyright
This page was processed by apollo2 in 0.468 seconds
