Systemic risk measures and macroprudential stress tests: an assessment over the 2014 EBA exercise

Chiara Pederzoli and Costanza Torricelli
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Chiara Pederzoli: University of Milan Bicocca

Annals of Finance, 2017, vol. 13, issue 3, No 1, 237-251

Abstract: Abstract Regulators’ stress tests on banks further stimulated an academic debate over systemic risk measures and their predictive content. Focusing on marked based measures, Acharya et al. (Rev Financ Stud 30(1):2–47, 2017) provide a theoretical background to use marginal expected shortfall (MES) for predicting the stress test results, and verify it on the 2009 Supervisory Capital Assessment Program of the US banking system. The aim of this paper is to further test the goodness of MES as a predictive measure, by analysing it in relation to the results of the 2014 European stress tests exercise conducted by the European Banking Authority. Our results underscore the importance of choosing the appropriate index to capture the systemic distress event. In fact MES based on a global market index does not show association with the stress test results, in contrast to Financial MES, which is based on a financial market index, and has a significant information and predictive power.

Keywords: Systemic risk; MES; F-MES; Stress test; Macroprudential regulation (search for similar items in EconPapers)
JEL-codes: E30 E44 G01 G10 G28 (search for similar items in EconPapers)
Date: 2017
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Citations: View citations in EconPapers (4)

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Working Paper: Systemic risk measures and macroprudential stress tests. An assessment over the 2014 EBA exercise (2015)
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DOI: 10.1007/s10436-017-0294-z

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