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Sylvain BENOIT (Univ. Paris Dauphine) “Elicitability of Market-Based Systemic-Risk Measures”

November 26, 11:30 am - 12:30 pm

FINANCIAL ECONOMETRICS SEMINAR

Time: 11:30
Date: 26th of November 2020
Place: Room

Sylvain BENOIT (Univ. Paris Dauphine) “Elicitability of Market-Based Systemic-Risk Measures”

Abstract : A risk measure, or more generally a statistical functional, is called elicitable if it can be defined as the minimizer of a suitable expected scoring function, see Gneiting (2011) and references therein. This article explores the notion of elicitability for systemic-risk measures that are used to identify the financial institutions contributing the most to the overall risk in the financial system. Our elicitation framework applies to systemic-risk measures that are expressed as a function of the expected equity loss conditional on a financial crisis, such as the marginal expected shortfall (MES), the systemic expected shortfall (SES), or the systemic risk measure SRISK. This property paves the way to the implementation of semi-parametric M-estimation methods for systemic-risk measures or to the comparison of systemic-risk models used by academics and policy makers to rank systemically important financial institutions (SIFIs) whose failure might trigger a crisis in the entire financial system.

Organizers:
Jean-Michel ZAKOIAN (CREST )

Sponsors:
CREST and ILB

Location:
Address
 : ENSAE ParisTech
5, avenue Henry Le Chatelier
91120 Palaiseau
How to come?

 

Details

Date:
November 26
Time:
11:30 am - 12:30 pm
Event Categories:
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