Caporin, Massimiliano; Magistris, Paolo Santucci de - In: Applied Economics Letters 19 (2012) 2, pp. 175-179
In the analysis of systemic risk, Marginal Expected Shortfall (MES) may be considered to evaluate the marginal impact of a single stock on the market Expected Shortfall (ES). These quantities are generally computed using log-returns, in particular when there is also a focus on returns...
