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1、ATheoreticalandEmpiricalComparisonofSystemicRiskMeasuresSylvainBenoit,GilbertColletaz,ChristopheHurlin,ChristophePérignonyFirstdraft:December1,2011Thisversion:July15,2012AbstractWeproposeatheoreticalandempiricalcomparisonofseveralpopularsystemicriskmea-suresthatcanbeestima
2、tedfrompublicdata:MarginalExpectedShortfall(MES),SystemicRiskMeasure(SRISK),andDeltaConditionalValueatRisk(CoVaR).First,weassumethatthetime-varyingcorrelationcompletelycapturesthedependencebetweenthe…rmandmarketreturnsandweshowthat(i)MEScorrespondstotheproductofthemarketexpe
3、ctedshortfall(markettailrisk)andthe…rmbeta(…rmsystematicrisk)andthat(ii)CoVaRcorrespondstotheproductofthe…rmVaR(…rmtailrisk)andthelinearprojectioncoe¢cientofthemarketreturnonthe…rmreturn.Wealsoderive(iii)conditionsunderwhichdi¤erentsystemicriskmeasuresleadtoconsistentranking
4、sofsystemicallyimportant…nancialinstitu-tions.Second,werelaxourfundamentalassumptionandempiricallyvalidateourtheoretical…ndingsforasampleofUS…nancialinstitutions.Collectively,ourresultsindicatethatthebestsystemicriskmeasureverymuchdependsontheconsideredobjective:MEShelpslittl
5、etoranksystemicallyimportant…nancialinstitutions,whereasCoVaRbringslimitedaddedvalueoverandaboveVaRtoforecastsystemicrisk.Overall,SRISKo¤ersthebestcompromisebetweenthetoo-big-to-failandtoo-interconnected-to-faildimensions.Keywords:MarginalExpectedShortfall,CoVaR,systemicvs.s
6、ystematicrisk,tailriskJELclassi…cation:G01,G32.UniversityofOrléans,Laboratoired’Economied’Orléans(LEO),RuedeBlois–B.P.6739,45067OrléansCedex2,France.Emails:sylvain.benoit@univ-orleans.fr,gilbert.colletaz@univ-orleans.fr,christophe.hurlin@univ-orleans.fr.yHECParis,1RuedelaLib
7、ération,78351Jouy-en-Josas,France.Email:perignon@hec.fr.11IntroductionTherecent…nancialcrisishasfosteredextensiveresearchonsystemicrisk,eitheronitsde…nition,measurement,orregulation.1Ofparticularinterestistheidenti…cationofthe…nancialinstitutionsthatcontributethemosttotheover
8、allriskofthe…nancialsystem–theso-calledSystemicallyIm-portantFinanci
