The models of measure of systemic risk

In this book, we presented the four systemic risk measures developed in the financial literature. These measures are expected marginal loss (Marginal Expected Shortfall: MES) and the expected systemic loss (Systemic Expected Shortfall: SES), the measurement of systemic risk (SRISK) and Delta Conditional Value-at-Risk (DeltaCoVaR). From the theoretical development of these models, we presented a synthesis of specific features of each measure. This synthesis has enabled us to develop a common framework to measure systemic risk. We showed theoretically, most of the variability of these three systemic measures can be obtained by measuring the market risk and the company's characteristics.

Autorentext

Abdelkader Derbali est professeur assistant en finance à l'Institut supérieur de gestion de Sousse, à l'université de Sousse, en Tunisie. Il est membre du comité de rédaction de l'African Journal of Accounting, Auditing and Finance, de Cogent Economics and Finance, de l'International Business Review, de l'Energy Policy et de l'Economic Modelling.