Regulators' stress tests on banks further stimulated an academic debate over systemic risk measures and their predictive content. Focusing on marked based measures, Acharya et al. (Rev Financ Stud 30(1): 2-47, 2017) provide a theoretical background to use marginal expected shortfall (MES) for predicting the stress test results, and verify it on the 2009 Supervisory Capital Assessment Program of the US banking system. The aim of this paper is to further test the goodness of MES as a predictivemeasure, by analysing it in relation to the results of the 2014 European stress tests exercise conducted by the European Banking Authority. Our results underscore the importance of choosing the appropriate index to capture the systemic distress event. In fact MES based on a global market index does not show association with the stress test results, in contrast to Financial MES, which is based on a financial market index, and has a significant information and predictive power

Pederzoli, C., Torricelli, C. (2017). Systemic risk measures and macroprudential stress tests: an assessment over the 2014 EBA exercise. ANNALS OF FINANCE, 13(3), 237-251 [10.1007/s10436-017-0294-z].

Systemic risk measures and macroprudential stress tests: an assessment over the 2014 EBA exercise

Pederzoli, C;
2017

Abstract

Regulators' stress tests on banks further stimulated an academic debate over systemic risk measures and their predictive content. Focusing on marked based measures, Acharya et al. (Rev Financ Stud 30(1): 2-47, 2017) provide a theoretical background to use marginal expected shortfall (MES) for predicting the stress test results, and verify it on the 2009 Supervisory Capital Assessment Program of the US banking system. The aim of this paper is to further test the goodness of MES as a predictivemeasure, by analysing it in relation to the results of the 2014 European stress tests exercise conducted by the European Banking Authority. Our results underscore the importance of choosing the appropriate index to capture the systemic distress event. In fact MES based on a global market index does not show association with the stress test results, in contrast to Financial MES, which is based on a financial market index, and has a significant information and predictive power
Articolo in rivista - Articolo scientifico
Systemic risk, MES, F-MES, macropruential regulation
English
2017
13
3
237
251
reserved
Pederzoli, C., Torricelli, C. (2017). Systemic risk measures and macroprudential stress tests: an assessment over the 2014 EBA exercise. ANNALS OF FINANCE, 13(3), 237-251 [10.1007/s10436-017-0294-z].
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Utilizza questo identificativo per citare o creare un link a questo documento: https://hdl.handle.net/10281/211898
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