The Basel Committee on Banking Supervision (BIS) has recently sanctioned Expected Shortfall (ES) as the market risk measure to be used for banking regulatory purposes, replacing the well-known Value-at-Risk (VaR). This change is motivated by the appealing theoretical properties of ES as a...

Systemic risk has drawn the attention of many researchers and financial institutions since the recent financial crisis. Popular systemic risk measures include CoVaR, CoES, MES and SRISK etc. However, there are only a few methods available on modeling these measures, and even less papers on...

We consider nonparametric identification and estimation of pricing kernels, or equivalently of marginal utility functions up to scale, in consumption based asset pricing Euler equations. Ours is the first paper to prove nonparametric identification of Euler equations under low level conditions...