Conditional value at risk (CoVaR) and marginal expected shortfall (MES) have been proposed as stock return based measures of the systemic risk created by individual financial institutions even though the literature provides no formal hypothesis test for detecting systemic risk. We address this...

Since the 2009 Supervisory Capital Assessment Program (SCAP), US regulators have employed a representative bank model as the benchmark of comparison in mandatory stress test exercises. For risk management functions, a bank's own stress model must be calibrated to reflect the bank's historical...

This paper investigates the effect of bank failures on economic growth using data from 1900 to 1930, a period that predates active government stabilization policies and includes periods of banking system distress that are not coincident with recessions. Using both VAR and a...

Conditional value at risk (CoVaR) and marginal expected shortfall (MES) have been proposed as measures of systemic risk. Some argue these statistics should be used to impose a “systemic risk tax” on financial institutions. These recommendations are premature because CoVaR and MES are ad hoc...