On joint marginal expected shortfall and associated contribution risk measures

Pu, Tong; Zhang, Yifei; Zhang, Yiying

2024-07-01

10.1080/14697688.2024.2366963

QUANTITATIVE FINANCE   影响因子和分区

1469-7688

1469-7696

Systemic risk is the risk that a company- or industry-level risk could trigger a huge collapse of another or even the whole institution. Various systemic risk measures have been proposed in the literature to quantify the domino and (relative) spillover effects induced by systemic risks such as the well-known CoVaR, CoES, MES and CoD risk measures, and associated contribution measures. This paper proposes another new type of systemic risk measure, called the joint marginal expected shortfall (JMES), to measure whether the MES of one entity's risk-taking adds to another one or the overall risk conditioned on the event that the entity is already in some specified distress level. We further introduce two useful systemic risk contribution measures based on the difference function or relative ratio function of the JMES and the conventional ES, respectively. Some basic properties of these proposed measures are studied such as monotonicity, comonotonic additivity, non-identifiability and non-elicitability. For both risk measures and two different vectors of bivariate risks, we establish sufficient conditions imposed on copula structure, stress levels, and stochastic orders to compare these new measures. We further provide some numerical examples to illustrate our main findings. A real application in analyzing the risk contagion among several stock market indices is implemented to show the performances of our proposed measures compared with other commonly used measures including CoVaR, CoES, MES, and their associated contribution measures.

Joint marginal expected shortfall Systemic risk Contribution measure Ratio measure Spillover effect Copula Stochastic orders G32 G21 G22

SCI ; SSCI

英语

第一 ; 通讯

Special Funds for the Cultivation of Guangdong College Students' Scientific and Technological Innovation[pdjh2023c20101] ; National Natural Science Foundation of China["12101336","72311530687"] ; Guang-Dong Basic and Applied Basic Research Foundation[2023A1515011806] ; Shenzhen Science and Technology Program[JCYJ20230807093312026]

Business & Economics ; Mathematics ; Mathematical Methods In Social Sciences

Business, Finance ; Economics ; Mathematics, Interdisciplinary Applications ; Social Sciences, Mathematical Methods

WOS:001262215900001

ROUTLEDGE JOURNALS, TAYLOR & FRANCIS LTD

ECONOMICS BUSINESS

Web of Science

Southern Univ Sci & Technol, Dept Math, Shenzhen 518055, Peoples R China

Pu, Tong,Zhang, Yifei,Zhang, Yiying. On joint marginal expected shortfall and associated contribution risk measures[J]. QUANTITATIVE FINANCE,2024.

Pu, Tong,Zhang, Yifei,&Zhang, Yiying.(2024).On joint marginal expected shortfall and associated contribution risk measures.QUANTITATIVE FINANCE.

Pu, Tong,et al."On joint marginal expected shortfall and associated contribution risk measures".QUANTITATIVE FINANCE (2024).