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

7924

Downloads

1982

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).

The International Spillover Effects of US Monetary Policy Uncertainty

Journal of International Economics (2021)

Lakdawala Aeimit, Moreland Timothy, and Schaffer Matthew

The impact of the Covid public policies on the Chilean households

Applied Economics Letters (2021)

Madeira Carlos

The impact of the Covid pandemic public policies in Chile on consumption

Economía (2021)

Madeira Carlos

The effect of FOMC votes on financial markets

Review of Economics and Statistics (2019)

Madeira Carlos and Madeira Joao

Priorización de pago de deudas de consumo en Chile: el caso de Bancos y Casas Comerciales

Economía Chilena (2018)

Madeira Carlos

Motivaciones del Endeudamiento en las Familias Chilenas

Economía Chilena (2015)

Madeira Carlos

Gestión Hipotecaria de las Familias Chilenas

Economía Chilena (2013)

Madeira Carlos

El Impacto del Endeudamiento y Riesgo de Desempleo en la Morosidad de las Familias Chilenas

Economía Chilena (2014)

Madeira Carlos

Computing population weights for the EFH survey

Economía Chilena (2019)

Madeira Carlos

0 comment

Add comment

You need to log in to post a comment.