2021
DOI: 10.1093/jjfinec/nbaa050
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Measuring Systemic Risk Using Multivariate Quantile-Located ES Models

Abstract: We examine the tail systemic risk between the global financial system and financial institutions that belong to different industry groups. Our main contribution is the development of a systemic risk measure Delta Quantile-Located Conditional Autoregressive Expected Shortfall, ΔQLMV−CoCARES. This new measure captures the extreme downside risk in terms of the ES of the system should both the financial system and the institution simultaneously be in distress. The evidence suggests that cross significant volatilit… Show more

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