Which Are the SIFIs? A Component Expected Shortfall (CES) Approach to Systemic Risk

By Dumitrescu Elena-Ivona and Banulescu Denisa
Journal of Banking and Finance (2015)

  • Elena-Ivona Dumitrescu

    University Paris Ouest


  • Georgiana Denisa Banulescu

    University of Orléans and Maastricht University



October 7, 2013

Last update

October 9, 2013










This code computes the Component Expected Shortfall (CES) risk measure both in-sample and out-of-sample for each financial institution in the system. The in-sample measure corresponds to fixed calendar dates, whereas the out-of-sample one looks at the 6-month period preceding that particular day. The date of interest should be changed manually. The evolution of CES over the part of the sample under analysis (in the paper this is from 2007 on) can also be calculated for a given asset. As a byproduct, the codes also compute the Marginal Expected Shortfall (MES). To obtain the in-sample results run the file RUN_var.m, for the out-of-sample ones, run the file RUN_main_oos.m, and for a specific asset run RUN_main_i.m . Note also that the dataset (data_set.mat) should include the firm returns at each date (returnsL matrix) as well as the weight of each institution in the financial system for the period under analysis, e.g. from 2007 (weights matrix).

Shaping Consumer Preference Using Alignable Attributes: The Roles of Regulatory Orientation and Construal Level

International Journal of Research in Marketing (2018)

Sun Jin, Keh Hean Tat, and Lee Angela Y.

Backtesting Expected Shortfall via Multi-Quantile Regression

Working Paper (2018)

Couperier Ophélie and Leymarie Jérémy

Wealth Distribution with Random Discount Factors

Journal of Monetary Economics (2018)

Toda Alexis Akira

Targeting Online Display Ads: Choosing Their Frequency and Spacing

International Journal of Research in Marketing (2018)

Försch Steffen and de Haan Evert

Financial distress, refinancing, and debt structure

Journal of Banking and Finance (2018)

Yin Qie and Dudley Evan

On the Monetary Impact of Fashion Design Piracy

International Journal of Research in Marketing (2018)

Appel Gil, Libai Barak, and Muller Eitan

A Random Coefficients Mixture Hidden Markov Model for Marketing

International Journal of Research in Marketing (2018)

Kappe Eelco, Stadler Ashley, and DeSarbo Wayne

Fiscal policy coordination in currency unionsat the effective lower bound

Working Paper (2018)

Müller Gernot and Hettig Thomas


Zip Archive




The Dynamics of Sovereign Debt Crises and Bailouts

Journal of International Economics (2018)

Roch Francisco

0 comment

Add comment

You need to log in to post a comment.