TY  - GEN
TI  - Risk Measure Inference
AU  - Hurlin, Christophe
AU  - Laurent, Sebastien
AU  - Quaedvlieg, Rogier
AU  - Smeekes, Stephan
PY  - 2015
PB  - HAL CCSD
LA  - eng
KW  - Risk Measures
KW  - Grouped Ranking
KW  - Bootstrap
KW  - Uncertainty
KW  - [SHS.ECO]Humanities and Social Sciences/Economics and Finance
KW  - http://semantics.gr/authorities/SSH-LCSH/sh85044503
KW  - Equality
KW  - Egalitarianism
KW  - Social inequality
KW  - egalitaryzm
KW  - igualitarismo
KW  - Social equality
KW  - Egalitarismus
KW  - Inequality
KW  - Egalitarizam
KW  - ισότητα
KW  - Eguaglianza
KW  - Inégalité sociale
KW  - http://semantics.gr/authorities/SSH-LCSH/sh85114195
KW  - Rizik
KW  - Risk
KW  - Risiko
KW  - Κίνδυνος
KW  - Ryzyko
KW  - Riesgo
KW  - Rischi
KW  - Risk (logiciel)
KW  - http://semantics.gr/authorities/SSH-LCSH/sh85105976
KW  - Pouvoir (sciences sociales)
KW  - władza
KW  - Εξουσία
KW  - poder
KW  - Poder (Ciências Sociais)
KW  - Herrschaft
KW  - Political power
KW  - Empowerment (Social sciences)
KW  - potere
KW  - Moć
KW  - Power (Social sciences)
KW  - stat
AB  - Fichier WP en ligne  ; We propose a bootstrap-based test of the null hypothesis of equality of two firms' conditional Risk Measures (RMs) at a single point in time. The test can be applied to a wide class of conditional risk measures issued from parametric or semi-parametric models. Our iterative testing procedure produces a grouped ranking of the RMs which has direct application for systemic risk analysis. A Monte Carlo simulation demonstrates that our test has good size and power properties. We propose an application to a sample of U.S. financial institutions using CoVaR, MES, and SRISK, and conclude that only SRISK can be estimated with enough precision to allow for meaningful ranking.
UR  - https://halshs.archives-ouvertes.fr/halshs-00877279
UR  - https://www.pollux-fid.de/r/base-fttriple:oai:gotriple.eu:10670/1.nj367c
H1  - Pollux (Fachinformationsdienst Politikwissenschaft)
ER  -