Inference on dynamic systemic risk measures

Christian Francq and Jean-Michel Zakoïan

Journal of Econometrics, 2025, vol. 247, issue C

Abstract: Systemic risk measures (SRM) quantify the risk of a system induced by the possible distress of any of its components. Applications in economics and finance are numerous. We define a general dynamic framework for the risk factors, allowing us to obtain explicit expressions of the corresponding dynamic SRM. We deduce an easy-to-implement statistical approach which, based on semi-parametric assumptions, reduces to estimating univariate location-scale models and to computing (static) quantiles of the residuals. We derive a sound asymptotic theory (including confidence intervals, tests, validity of a residual bootstrap) for major SRM, namely the Conditional VaR (CoVaR) and Delta-CoVaR. Our theoretical results are illustrated via Monte-Carlo experiments and real financial and macroeconomic time series.

Keywords: CoVaR; Delta-CoVaR; Marginal expected shortfall; Multivariate risks; Residual bootstrap (search for similar items in EconPapers)
JEL-codes: C32 C52 C58 (search for similar items in EconPapers)
Date: 2025
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Persistent link: https://EconPapers.repec.org/RePEc:eee:econom:v:247:y:2025:i:c:s0304407624002872

DOI: 10.1016/j.jeconom.2024.105936

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