Measuring Systemic Risk
提出一个系统性风险的经济模型，用系统性预期短缺（SES）衡量单个金融机构对整体风险的贡献，并实证表明SES能预测2007-2009年金融危机中的风险。
We present an economic model of systemic risk in which undercapitalization of the financial sector as a whole is assumed to harm the real economy, leading to a systemic risk externality. Each financial institution’s contribution to systemic risk can be measured as its systemic expected shortfall (SES), that is, its propensity to be undercapitalized when the system as a whole is undercapitalized. SES increases in the institution’s leverage and its marginal expected shortfall (MES), that is, its losses in the tail of the system’s loss distribution. We demonstrate empirically the ability of components of SES to predict emerging systemic risk during the financial crisis of 2007–2009. Received December 1, 2015; editorial decision August 5, 2016 by Editor Andrew Karolyi.