NDLI: Measuring Systemic Risk via Marginal Expected Shortfall and Delta Conditional Value at Risk and Banks Rating

Please wait, while we are loading the content...

Measuring Systemic Risk via Marginal Expected Shortfall and Delta Conditional Value at Risk and Banks Rating

Content Provider	Semantic Scholar
Author	Eivazlu, Reza Rameshg, Mehdi
Copyright Year	2019
Abstract	Objectives: Systemic risk refers to the risk of failing a financial system or the failure of the entire market. This risk can arise from the instability or crisis in financial institutions and transfer to the whole of the financial system, through contagion. In other words, the systemic risk could be seen as the degree of the interconnection between different divisions of a financial system, where a failure in a financial institution may lead to a whole system crisis. Method: In this paper, we study systemic risks in the Iranian banking sector by using two crucial systemic risk measures, the MES (marginal expected shortfall) and Co-VaR. To compute both measures, we employ Engle's dynamic conditional correlation model. Results: According to our results, although these two systemic risk measures differ in defining the contributions to systemic risk, both are qualitatively very similar in explaining the cross-sectional differences in systemic risk contributions across banks. In addition, using a threshold VAR model, we suggest an overall systemic risk measure – the aggregate MES – and its associated threshold value for use as an early warning indicator. The paper is innovative in applying statistical models (dynamic conditional correlation model) to seek for a reliable commercial banks rating, using by approaches MES and COVAR.
File Format	PDF HTM / HTML
Alternate Webpage(s)	https://www.sid.ir/FileServer/JF/4022013982701
Alternate Webpage(s)	http://amf.ui.ac.ir/article_23292_751a6e8b0bce78149793a49655108049.pdf
Language	English
Access Restriction	Open
Content Type	Text
Resource Type	Article

Central Library (ISO-9001:2015 Certified)
Indian Institute of Technology Kharagpur
Kharagpur, West Bengal, India | PIN - 721302

See location in the Map
03222 282435
Mail: support@ndl.gov.in

Sl.	Authority	Responsibilities	Communication Details
1	Ministry of Education (GoI), Department of Higher Education	Sanctioning Authority	https://www.education.gov.in/ict-initiatives
2	Indian Institute of Technology Kharagpur	Host Institute of the Project: The host institute of the project is responsible for providing infrastructure support and hosting the project	https://www.iitkgp.ac.in
3	National Digital Library of India Office, Indian Institute of Technology Kharagpur	The administrative and infrastructural headquarters of the project	Dr. B. Sutradhar bsutra@ndl.gov.in
4	Project PI / Joint PI	Principal Investigator and Joint Principal Investigators of the project	Dr. B. Sutradhar bsutra@ndl.gov.in Prof. Saswat Chakrabarti will be added soon
5	Website/Portal (Helpdesk)	Queries regarding NDLI and its services	support@ndl.gov.in
6	Contents and Copyright Issues	Queries related to content curation and copyright issues	content@ndl.gov.in
7	National Digital Library of India Club (NDLI Club)	Queries related to NDLI Club formation, support, user awareness program, seminar/symposium, collaboration, social media, promotion, and outreach	clubsupport@ndl.gov.in
8	Digital Preservation Centre (DPC)	Assistance with digitizing and archiving copyright-free printed books	dpc@ndl.gov.in
9	IDR Setup or Support	Queries related to establishment and support of Institutional Digital Repository (IDR) and IDR workshops	idr@ndl.gov.in