NetMES: a network based marginal expected shortfall measure

Shatha Qamhieh Hashem and Paolo Giudici

Journal of Network Theory in Finance

Abstract: This paper aims to build novel measures of systemic risk that take the multivariate;nature of the problem into account by means of network models. To account for model;uncertainty, we also employ a Bayesian approach, which allows model averaging;over different network classes. The resulting systemic risk measure, which we call;NetMES, is applied to the evaluation of the financial stability of the banking system in;the Gulf Cooperation Council countries. Banks are classified as fully-fledged Islamic ;banks, conventional banks or hybrids: conventional banks with an Islamic window.;The empirical findings indicate the presence of a difference between the two banking;systems in terms of systemic risk, which can be explained by different levels of;capitalization and leverage.

References: Add references at CitEc
Citations:

Downloads: (external link)
https://www.risk.net/journal-of-network-theory-in- ... ed-shortfall-measure (text/html)

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:rsk:journ8:2472278

Access Statistics for this article

More articles in Journal of Network Theory in Finance from Journal of Network Theory in Finance
Bibliographic data for series maintained by Thomas Paine ().