Düllmann, Klaus; Puzanova, Natalia - 2011
We put forward a Merton-type multi-factor portfolio model for assessing banks’ contributions to systemic risk. This … proxy for interconnectedness. We measure systemic risk in terms of the portfolio expected shortfall (ES). Banks’ (marginal … could be implemented to compute bank-specific capital surcharges for systemic risk or stabilisation fees. We find that size …