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Model risk of systemic risk models

Danielsson, Jon, James, Kevin R., Valenzuela, Marcela and Zer, Ilknur (2011) Model risk of systemic risk models. . Jon Danielsson.

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Statistical systemic risk measures (SRMs) have been proposed by several authors. Those generally depend on established methods from market risk forecasting. The two most common SRMs, MES and CoVaR, along with VaR, are compared theoretically and then critically empirically analyzed. They are found to contain a high degree of model risk so that the signal they produce is highly unreliable. Finally, the papers discusses the main problems in systemic risk forecasting and proposed evaluation criteria fur such models.

Item Type: Monograph (Working Paper)
Official URL:
Additional Information: © 2011 The Authors
Divisions: Finance
Financial Markets Group
Subjects: H Social Sciences > HB Economic Theory
H Social Sciences > HG Finance
JEL classification: D - Microeconomics > D8 - Information, Knowledge, and Uncertainty > D81 - Criteria for Decision-Making under Risk and Uncertainty
G - Financial Economics > G3 - Corporate Finance and Governance > G32 - Financing Policy; Financial Risk and Risk Management; Capital and Ownership Structure
Date Deposited: 16 Apr 2012 15:18
Last Modified: 16 May 2024 11:56

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