Mercredi | 2012-01-11
B103

Sylvain BENOIT – Gilbert COLLETAZ – Christophe HURLIN – Article non disponible

In this paper, we propose a theoretical and empirical comparison of two popular systemic risk measures – Marginal Expected Shortfall (MES) and Delta Conditional Value at Risk (CoVaR) – that can be estimated using publicly available data. First, we assume that the time-varying correlation completely captures the dependence between …rm and market returns. Under this assumption, we derive three analytical results: (i)we show that the MES corresponds to the product of the conditional ES of market returns and the time-varying beta of this institution, (ii) we give an analytical expression of the CoVaR and show that the CoVaR corresponds to the product of the VaR of the firm’s returns and the time-varying linear projection coe¢ cient of the market returns on the fi…rm’s returns and (iii) we derive the ratio of the MES to the CoVaR. Second, we relax this assumption and propose an empirical comparison for a panel of 61 US financial institutions over the period from January 2000 to December 2010. For each measure, we propose a cross-sectional analysis, a time-series comparison and rankings analysis of these institutions based on the two measures.