37 Pages Posted: 26 Oct 2013 Last revised: 16 Mar 2015
Date Written: March 16, 2015
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: 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
By Florin Spinu