Danielsson, Jon, James, Kevin R., Valenzuela, Marcela and Zer, Ilknur (2011) Model risk of systemic risk models. Jon Danielsson.
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)|
|Additional Information:||© 2011 The Authors|
|Library of Congress subject classification:||H Social Sciences > HB Economic Theory
H Social Sciences > HG Finance
|Journal of Economic Literature Classification System:||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
|Sets:||Departments > Finance
Collections > Economists Online
Research centres and groups > Financial Markets Group (FMG)
Collections > LSE Financial Markets Group (FMG) Working Papers
|Date Deposited:||16 Apr 2012 15:18|
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