A Theoretical and Empirical Comparison of Systemic Risk Measures

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Why do some banks contribute more to global systemic risk? (2018, methodology): “…have been extensively discussed in the literature and are also used by regulators and central bankers for monitoring financial stability (see Benoit et al., 2013).12 First, we follow Acharya et al. (2010) and employ the Marginal Expected Shortfall which is a static structural form approach…”
Where the Risks Lie: A Survey on Systemic Risk (2017, unknown): “Bernanke and Gertler (1989), Kiyotaki and Moore (1997), Geanakoplos (1997), and Holmstrom and Tirole (1997) proposed extremely influential models that lead to such an outcome.7 The macro-finance literature has built on these seminal papers to better understand the link between business cycles and fi”