Statistical Assessments of Systemic Risk Measures

19 Pages Posted: 12 May 2012  

Carole Bernard

Grenoble Ecole de Management

Eike Christian Brechmann

Technische Universität München (TUM)

Claudia Czado

Technische Universität München (TUM)

Date Written: April 11, 2012

Abstract

In this paper we review existing statistical measures for systemic risk and discuss their strengths and weaknesses. Among them we discuss the Conditional Value-at-Risk (CoVaR) introduced by Adrian and Brunnermeier (2010) and the Systemic Expected Shortfall (SES) of Acharya, Pedersen, Philippon and Richardson (2011). Systemic risk is also highly related to financial contagion and we will explain drawbacks and advantages of looking at “coexceedances” (simultaneous extreme events) or at the local changes in “correlation” that have been proposed in the literature on financial contagion (Bae, Karolyi and Stulz (2003), Baig and Goldfajn (1999) and Forbes and Rigobon (2002)).

Suggested Citation

Bernard, Carole and Brechmann, Eike Christian and Czado, Claudia, Statistical Assessments of Systemic Risk Measures (April 11, 2012). Available at SSRN: https://ssrn.com/abstract=2056619 or http://dx.doi.org/10.2139/ssrn.2056619

Carole Bernard (Contact Author)

Grenoble Ecole de Management ( email )

12, rue Pierre Sémard
Grenoble Cedex, 38003
France

Eike Christian Brechmann

Technische Universität München (TUM) ( email )

Arcisstrasse 21
Munich, 80333
Germany

Claudia Czado

Technische Universität München (TUM) ( email )

Arcisstrasse 21
Munich, 80333
Germany

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