This paper evaluates whether sophisticated or simple systemic risk measures are more suitable in identifying which institutions contribute to systemic risk. In this investigation, ΔCoVaR, Marginal Expected Shortfall (MES), SRISK and Granger-Causality Networks are considered as sophisticated...

We examine pitfalls in the use of return-based measures of systemic risk contributions (SRCs). For both linear and non-linear return frameworks, assuming normal and heavy-tailed distributions, we identify non-exotic cases in which a change in a bank's systematic risk, idiosyncratic risk, size or...