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  • Photo du rédacteurHélène Dufour

Uncertainty in Systemic Risks Rankings: Bayesian and Frequentist Analysis

"In this paper we propose efficient #bayesian Hamiltonian #montecarlo method for estimation of #systemicrisk#measures , LRMES, SRISK and ΔCoVaR, and apply it for thirty global systemically important banks and for eighteen largest #us#financialinstitutions over the period of 2000-2020. The systemic risk measures are computed based on the Dynamic Conditional Correlations model with generalized asymmetric #volatility. A policymaker may choose to rank the firms using some quantile of their systemic risk distributions such as 90, 95, or 99% depending on #risk preferences with higher quantiles being more conservative."


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