In the analysis of systemic risk, Marginal Expected Shortfall (MES) may be considered to evaluate the marginal impact of a single stock on the market Expected Shortfall (ES). These quantities are generally computed using log-returns, in particular when there is also a focus on returns conditional distribution. In this case, the market log-return is only approximately equal to the weighed sum of equities log-returns. We show that the approximation error is large during turbulent market phases, with a subsequent impact on MES. We then suggest how to improve the evaluation of MES by means of a second-order approximation.
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http://hdl.handle.net/11385/178225
Titolo: | On the evaluation of marginal expected shortfall |
Autori: | |
Data di pubblicazione: | 2012 |
Rivista: | |
Handle: | http://hdl.handle.net/11385/178225 |
Appare nelle tipologie: | 01.1 - Articolo su rivista (Article) |
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