A1806
Title: Elicitability of marginal expected shortfall and related systemic-risk measures
Authors: Jeremy Leymarie - ESC Clermont Business School (France) [presenting]
Ophelie Couperier - LEO CNRS - ENSAE - CREST (France)
Olivier Scaillet - University of Geneva and Swiss Finance Institute (Switzerland)
Sylvain Benoit - University Paris-Dauphine (France)
Abstract: A risk measure, or more generally a statistical functional, is called elicitable if it can be defined as the minimizer of a suitable expected scoring function. The notion of elicitability (and identifiability) is explored for systemic-risk measures that are used to identify the financial institutions contributing the most to the overall risk in the financial system. Our elicitation framework applies to systemic-risk measures that are expressed as a function of the expected equity loss conditional on a financial crisis, such as the marginal expected shortfall (MES), the systemic expected shortfall (SES), or the systemic-risk measure SRISK. This property paves the way to the implementation of semiparametric M-estimation for the systemic-risk measures or to the comparison and backtesting of the systemic-risk models used by academics and policymakers to rank the systemically important financial institutions (SIFIs) whose failure might trigger a crisis in the entire financial system.
