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Static marginal expected shortfall: Systemic risk measurement under dependence uncertainty
Edward Furman / Jinghui Chen / X. Sheldon Lin
systemic riskResource overview

Static marginal expected shortfall: Systemic risk measurement under dependence uncertainty

Paper2025

by Edward Furman, Jinghui Chen, X. Sheldon Lin

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systemic risk

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Suggested foundations for risk measurement and stress. Specialist prerequisites vary by paper.

Before you read

  1. Random Variables and Distributions

    Represent losses as a distribution rather than one forecast.

  2. Expected Shortfall and Other Tail Risk Measures

    Distinguish a loss quantile from the average loss in the tail.

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  1. VaR Estimation in Practice: Variance-Covariance, Historical Simulation, Monte Carlo

    Compare risk estimators and their assumptions.

  2. Backtesting VaR and ES: Coverage Tests and Model Validation

    Check forecasts against realised losses.

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