Dear esteem senior colleagues, I'm currently investigating the systemic risk in the banking industry. I need help on how to empirically estimate these systemic risks methods: Conditional Value at Risk (CoVar) introduced by Adrian & Brunnermeirer (2016); Long Run Marginal Expected Shortfall (LMES) method and SRISK method by Acharya, Engle & Richardson (2012).
Thanks for your usual help.
how and to what extent would bank systemic risk differ from country systemic risk?
the latter may be a more gradual entry.
market default risk may also be a good proxy.
Thanks @ Tihana . I will read the work more carefully. Although I am not very familiar with R environment. Can this procedure be implemented in Stata or E-view environments?
Do you know the estimation of Marginal Expected Shortfall (MES). Thanks
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