Risk Measure Inference

Christophe Hurlin, Sébastien Laurent, Rogier Quaedvlieg, Stephan Smeekes
2017 Journal of business & economic statistics  
We propose a widely applicable bootstrap based test of the null hypothesis of equality of two firms' Risk Measures (RMs) at a single point in time. The test can be applied to any market-based measure. In an iterative procedure, we can identify a complete grouped ranking of the RMs, with particular application to finding buckets of firms of equal systemic risk. An extensive Monte Carlo Simulation shows desirable properties. We provide an application on a sample of 94 U.S. financial institutions
more » ... ncial institutions using the ∆CoVaR, MES and %SRISK, and conclude only the %SRISK can be estimated with enough precision to allow for a meaningful ranking. (Sébastien Laurent), r.quaedvlieg@maastrichtuniversity.nl (Rogier Quaedvlieg), s.smeekes@maastrichtuniversity.nl (Stephan Smeekes)
doi:10.1080/07350015.2015.1127815 fatcat:lcmfrdf2abev7ob7tfc5q4zyna