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).
Oxford Bulletin of Economics and Statistics (2022)