The models of measure of systemic risk

ISBN-13: 9783330015678 / Angielski / Miękka / 2017 / 56 str.

Abdelkader Derbali; Lamia Jamel

Opis

In this book, we presented the four systemic risk measures developed in the financial literature. These measures are expected marginal loss (Marginal Expected Shortfall: MES) and the expected systemic loss (Systemic Expected Shortfall: SES), the measurement of systemic risk (SRISK) and Delta Conditional Value-at-Risk (DeltaCoVaR). From the theoretical development of these models, we presented a synthesis of specific features of each measure. This synthesis has enabled us to develop a common framework to measure systemic risk. We showed theoretically, most of the variability of these three systemic measures can be obtained by measuring the market risk and the company's characteristics.

O autorze

Derbali, Abdelkader
Dr. Abdelkader Derbali is an Assistant Professor in Finance at the Higher Institute of Management of Sousse in University of Sousse, Tunisia. He is one of the Editorial Board Members in the African Journal of Accounting, Auditing and Finance, Cogent Economics and Finance, International Business Review, Energy Policy, and Economic Modelling.