Måle systematisk finansiell risiko?

Her er noe av hva som skjer innenfor feltet, via Econbrowser (jeg har ikke klippet ut alt, klikk link for hele.):

Econbrowser: Measuring systemic financial risk: «Measuring systemic financial risk

On a recent visit to UCSD, NYU Professor and Nobel Laureate Rob Engle called my attention to the NYU Stern Volatility Laboratory, a great resource that anyone can use to get some very interesting real-time analysis. Here I’d like to describe some of the features available for assessing the systemic risk posed by financial institutions.

The first step that Engle and colleagues propose is to calculate what they call the Marginal Expected Shortfall (MES) associated with a given financial institution. This is an estimate, based on recent dynamic variances and correlations of observed stock prices, of how much the stock valuation of a given institution would be expected to fall today if the overall market were to decline by more than 2%. This is essentially a time-varying tail-event beta, details of whose estimation can be found here.

They next used a dynamic simulation to extrapolate from the MES an estimate of how much the stock would fall in the event of a full financial crisis, defined as a 40% decline in a broad market stock index over a space of 6 months. They estimate this number to be around 18 times the daily MES.

The last step is to compare the magnitude of the decline with the firm’s current equity and liabilities, and calculate how much more capital the firm would need to raise in order to remain solvent in the event of another financial crisis. This measure, which they describe as the ‘systemic risk’ associated with the firm, can either be reported in terms of how big the shortfall of that firm would be (in billions of dollars), or in terms of the percentage of the shortfall across all financial firms contributed by that single institution.

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