The case for CASE: Estimating heterogeneous systemic effects
提出条件平均系统性效应（CASE）模型，量化系统性冲击对金融机构损益的异质性影响，帮助识别脆弱性决定因素，并开发了考虑估计和模型设定风险的bootstrap推断方法。
The Basel Committee and the Financial Stability Board require a consensus on the identification of characteristics that make a financial institution more prone than others to be severely hit by systemic shocks. This paper introduces a new tool to achieve this goal: a model for the Conditional Average Systemic Effects (CASE). The CASE quantifies the average effect of a system wide shock or market downturn on the profit and loss account of a bank, a firm or on the return of an asset. We propose a linear model for CASE with heterogeneous effects in observable characteristics. These models complement alternative measures of systemic risk and allow researchers to identify the determinants of the vulnerability of a given financial institution. We develop bootstrap inference that accounts for both estimation risk and model misspecification risk, and show the utility of our results in Monte Carlo simulations and an empirical application to 100 large U.S. financial firms.