This paper investigates the prediction of Value-at-Risk (VaR) using option-implied information obtained by the maximum entropy method. The maximum entropy method provides an estimate of the risk-neutral distribution based on option prices. Besides commonly used implied volatility, we obtain...

Denote the loss return on the equity of a financial institution as X and that of the entire market as Y . For a given very small value of p 0, the marginal expected shortfall (MES) is defined as E(X | Y QY (1−p)), where QY (1−p) is the (1−p)-th quantile of the distribution of Y . The MES...

This paper provides a new estimation method for the marginal expected shortfall (MES) based on multivariate extreme value theory. In contrast to previous studies, the method does not assume specific dependence structure among bank equity returns and is applicable to both large and small systems....