Du risque des mesures de risque systémique
Patrick Kouontchou and
Revue économique, 2016, vol. 67, issue 2, 263-278
The systemic risk measure has emerged as a major concern for the stability of the financial system.?Most of the measures proposed are based on the estimation of conditional quantiles, which are extremely sensitive to the specification and estimation of risk models used.?We propose to correct the systemic risk measures applying a backtest procedure.?Our application on the covar suggests that the model risk is important and that institutions identified as ?systemic? differ, depending on whether we consider or not the corrected version of the systemic risk measure. Classification JEL : C31, C52, G32.
JEL-codes: C31 C52 G32 (search for similar items in EconPapers)
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Working Paper: Du risque des mesures de risque systémique (2015)
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Persistent link: http://EconPapers.repec.org/RePEc:cai:recosp:reco_pr2_0065
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