Systemic risk allocation using the asymptotic marginal expected shortfall

The Evaluation of Systemic Risk in the Iran Banking System by Marginal Expected Shortfall (MES) Criterion

Today, Systemic Risk is being analyzed as one of the major issues in financial institutions. Banks are one of the institutions that can be linked to systemic risk based on global experience. Therefore, in the study, we evaluate the systemic risk in the banking system of the country via the marginal expected shortfall (MES) criterion. For the purpose of the present study, 17 banks listed on the ...

Asset Allocation Advice: Reconciling Expected Utility and Shortfall Risk

Asset Allocation Advice: Reconciling Expected Utility and Shortfall Risk Researchers studying the asset allocation problem for long-term investors have employed di®erent investor criterion functions. Some analyses have been based on maximization of expected utility. The most commonly used utilities are quadratic utility, which yields the ubiquitous mean-variance utility function underlying \mod...

Model Risk of Expected Shortfall

In this paper we study the model risk of Expected Shortfall (ES), extending the results of Boucher et al. (2014) on model risk of Value-at-Risk (VaR). We propose a correction formula for ES based on passing three backtests. Our results show that for the DJIA index, the smallest corrections are required for the ES estimates built using GARCH models. Furthermore, the 2.5% ES requires smaller corr...

Backtesting trading risk of commercial banks using expected shortfall ¬リニ

This paper uses saddlepoint technique to backtest the trading risk of commercial banks using expected shortfall. It is found that four out of six US commercial banks have excessive trading risks. Monte Carlo simulation studies show that the proposed backtest is very accurate and powerful even for small test samples. More importantly, risk managers can carry out the proposed backtest based on an...

Estimating Value at Risk and Expected Shortfall Using Expectiles