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Risk Measure Inference

37 Pages Posted: 26 Oct 2013 Last revised: 16 Mar 2015

Christophe Hurlin

University of Orleans

Sébastien Laurent

French National Center for Scientific Research (CNRS) - Research Group in Quantitative Saving (GREQAM)

Rogier Quaedvlieg

Erasmus University Rotterdam (EUR) - Department of Business Economics

Stephan Smeekes

Maastricht University - Department of Quantitative Economics

Date Written: March 16, 2015

Abstract

We propose a widely applicable bootstrap based test of the null hypothesis of equality of two firms' Risk Measures (RMs) at a single point in time. The test can be applied to any market-based measure. In an iterative procedure, we can identify a complete grouped ranking of the RMs, with particular application to finding buckets of firms of equal systemic risk. An extensive Monte Carlo Simulation shows desirable properties. We provide an application on a sample of 94 U.S. financial institutions using the ΔCoVaR, MES and %SRISK, and conclude only the %SRISK can be estimated with enough precision to allow for a meaningful ranking.

Keywords: Bootstrap, Grouped Ranking, Risk Measures, Uncertainty

JEL Classification: C32, C58, G32

Suggested Citation

Hurlin, Christophe and Laurent, Sébastien and Quaedvlieg, Rogier and Smeekes, Stephan, Risk Measure Inference (March 16, 2015). Available at SSRN: https://ssrn.com/abstract=2345299 or http://dx.doi.org/10.2139/ssrn.2345299

Christophe Hurlin

University of Orleans ( email )

Université d'Orléans
Rue de Blois B.P. 6739 45
France

Sébastien Laurent

French National Center for Scientific Research (CNRS) - Research Group in Quantitative Saving (GREQAM) ( email )

Centre de la Vieille Charité
2, rue de la Charité
Marseille, 13002
France

Rogier Quaedvlieg (Contact Author)

Erasmus University Rotterdam (EUR) - Department of Business Economics ( email )

Netherlands

Stephan Smeekes

Maastricht University - Department of Quantitative Economics ( email )

P.O. Box 616
Maastricht, 6200 MD
Netherlands

HOME PAGE: http://www.personeel.unimaas.nl/s.smeekes

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