A Theoretical and Empirical Comparison of Systemic Risk Measures

By Perignon Christophe, Hurlin Christophe, Colletaz Gilbert, and Benoit Sylvain
Working Paper (2014)

  • Christophe Perignon

    HEC Paris

    France

  • Sylvain Benoit

    Université Paris-Dauphine

    France

  • Christophe Hurlin

    University of Orléans

    France

  • Gilbert Colletaz

    University of Orléans

    France

Created

October 25, 2013

Last update

June 20, 2016

Software

Matlab

Ranking

9

Visits

8153

Downloads

2039

Description

This code estimates the MES, SRISK and CoVaR using GARCH-DCC model. These popular market-based systemic risk measures capture the contribution of a given financial institution to the risk of the system. The first two measures reproduce quantities introduced by Brownlees and Engle (2012) and available on the V-Lab website for a large range of financial institutions. The last measure is also estimated with a quantile regression as proposed by Adrian and Brunnermeier (2011).

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