This paper proposes an original approach for backtesting systemic risk measures. makes it possible to assess the measure forecasts used identify financial institutions that contribute most overall in system. Our procedure is based on simple tests similar those generally backtest standard market measures such as value-at-risk or expected shortfall. We introduce a concept of violation associated ...

Our paper investigates Indonesia’s systemically important banks (SIBs) using theoretical approaches—CoVaR, marginal expected shortfall (MES), and SRISK—to compare with the Basel guidelines as benchmark. We use Indonesian banks’ market supervisory data over 2008–2019 period. The research aims to seek intertheoretical model interaction SIB ranking in concordance applied by a bank supervisor. find...

We examine the evolution and factors of systemic risk in Chinese banking sector over last decade from perspective domestic international investors. apply SRISK measure to a representative sample listed institutions that captures up 60% total assets utilize Granger-causality network-based approach demonstrate interlinkages among banks beyond largest financial institutions. show dramatic increase...

One of the main lessons global financial crisis in 2007–2009 is keeping individual institutions sound would be not enough for stability system, given increasing complexity banking activities and systemic risk. In this paper, authors measure risk 12 listed Vietnamese commercial banks from April 2008 to June 2021 based on two market measures, namely CoVaR SRISK. The use price estimation bank resu...

We identify and track over time the factors that make financial system vulnerable to fire sales by constructing an index of aggregate vulnerability. The starts increasing quickly in 2004, before most other major systemic risk measures, triples 2008. fire-sale-specific delevering speed concentration illiquid assets account for majority this increase. Individual banks' contributions vulnerability...