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标题：How useful is the marginal expected shortfall for the measurement of systemic exposure? A practical assessment
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作者：Julien Idier ; Gildas Lamé ; Jean-Stéphane Mésonnier 等
期刊名称：Euro Area Balance of Payments and International Investment Position Statistics
印刷版ISSN：1830-3420
电子版ISSN：1830-3439
出版年度：2013
出版社：European Central Bank
摘要：We explore the practical relevance from a supervisors perspective of a popular market-based indicator of the exposure of a nancial institution to systemic risk, the marginal expected shortfall (MES). The MES of an institution can be dened as its expected equity loss when the market itself is in its left tail. We estimate the dynamic MES recently proposed by Brownlees and Engle (2011) for a panel of 65 large US banks over the last decade and a half. Running panel regressions of the MES on bank characteristics, we rst nd that the MES can be roughly rationalized in terms of standard balance sheet indicators of bank nancial soundness and systemic importance. We then ask whether the cross section of the MES can help to identify ex ante, i.e. before a crisis unfolds, which institutions are the more likely to su¤er the most severe losses ex post, i.e. once it has unfolded. Unfortunately, using the recent crisis as a natural experiment, we nd that standard balance-sheet metrics like the tier one solvency ratio are better able than the MES to predict equity losses conditionally to a true crisis.
关键词：MES; systemic risk; tail correlation; balance sheet ratios; panel.