{"id":1511,"date":"2021-11-15T14:06:57","date_gmt":"2021-11-15T13:06:57","guid":{"rendered":"https:\/\/www.uni.lu\/fdef-fr\/events\/systemic-risk-measures-an-anatomy\/"},"modified":"2021-11-15T14:06:57","modified_gmt":"2021-11-15T13:06:57","slug":"systemic-risk-measures-an-anatomy","status":"publish","type":"events","link":"https:\/\/www.uni.lu\/fdef-fr\/events\/systemic-risk-measures-an-anatomy\/","title":{"rendered":"Systemic Risk Measures: An Anatomy"},"content":{"rendered":"

The Department of Finance of the University of Luxembourg is pleased to invite you to this seminar with Prof Frederic Malherbe, Prof of Economics & Finance at UCL.<\/p>Abstract

I dissect measures of bank systemic risk such as Marginal Expected Shortfall, Systemic Expected Shortfall, and SRISK. First, I show that they can be expressed in more intuitive terms. Second, I discuss a conceptual issue: these measures do not capture well cross-sectional variations in second order moments, especially if these relate to diversifiable risk. Third, I highlight two additional layers of issues that arise when these measures are estimated based on observed bank equity returns. The first is a bias due the implicit subsidy from government guarantees. This bias is increasing in the value of the subsidy, which means that the measures are more biased when they matter most. The second arises because bank equity return is not perfectly correlated with bank net worth. This implies that conditioning expectations on the former to proxy the latter introduces noise in the procedure. Finally, I use simulations to study the predicting power of these measures and discuss implications for the literature and for policy.<\/p>

Kindly note that this event will be held under the Covidcheck<\/a> rules currently in force:<\/p>