Systemic risk allocation using the asymptotic marginal expected shortfall
定义了渐近边际期望损失（AMES）来衡量银行对系统性风险的贡献，并基于多元极值理论提出估计方法。该方法不依赖特定相关性假设，能更准确预测极端损失，并揭示按规模或个体风险分配的不公平性。
This paper defines asymptotic marginal expected shortfall (AMES) for banks within a financial system and provides corresponding estimation method based on multivariate extreme value theory. The estimation method does not assume a specific dependence structure among bank equity returns. Both theoretical AMES and the estimator possess additive property and thus can serve as a tool to allocate system-wide risk to individual institutions. We apply the AMES to 30 global systemically important financial institutions (G-SIFIs). We show that the AMES outperforms the MES in predicting extreme losses during extreme systemic events. By taking the AMES as the reference point for allocating systemic risk to individual institutions, we show that an allocation according to simple bank characteristics such as size and individual risk can be imperfect. The allocation unfairness of individual risk or size across all the G-SIFIs has increased since 2008.