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

14

Visits

4117

Downloads

1156

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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