Which are the SIFIs? : a Component Expected Shortfall (CES) approach to systemic risk

BANULESCU, Georgiana-Denisa; DUMITRESCU, Elena-Ivona

Which are the SIFIs? : a Component Expected Shortfall (CES) approach to systemic risk

dc.contributor.author	BANULESCU, Georgiana-Denisa
dc.contributor.author	DUMITRESCU, Elena-Ivona
dc.date.accessioned	2013-09-19T13:07:19Z
dc.date.available	2013-09-19T13:07:19Z
dc.date.issued	2013
dc.description.abstract	This paper proposes a component approach to systemic risk which allows to decompose the risk of the aggregate financial system (measured by Expected Shortfall, ES) while accounting for the firm characteristics. Developed by analogy with the Component Value-at-Risk concept, our new systemic risk measure, called Component ES (CES), presents several advantages. It is a hybrid measure, which combines the Too Interconnected To Fail and the Too Big To Fail logics. CES relies only on publicly available daily data and encompasses the popular Marginal ES measure. CES can be used to assess the contribution of a firm to systemic risk at a precise date but also to forecast its contribution over a certain period. The empirical application verifies the ability of CES to identify the most systemically risky firms during the 2007-2009 financial crisis. We show that our measure identifies the institutions labeled as SIFIs by the Financial Stability Board.	en
dc.format.mimetype	application/pdf
dc.identifier.issn	1830-7728
dc.identifier.uri	https://hdl.handle.net/1814/28103
dc.language.iso	en	en
dc.relation.ispartofseries	EUI MWP	en
dc.relation.ispartofseries	2013/23	en
dc.rights	info:eu-repo/semantics/openAccess
dc.subject	Systemic risk	en
dc.subject	Component expected shortfall
dc.subject	Marginal expected shortfall
dc.subject	C22
dc.subject	C53
dc.subject	G01
dc.subject	G32
dc.title	Which are the SIFIs? : a Component Expected Shortfall (CES) approach to systemic risk	en
dc.type	Working Paper	en
dspace.entity.type	Publication
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person.identifier.other	34970
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