On Joint Marginal Expected Shortfall and Associated Contribution Risk Measures
Published in Quantitative Finance, 2024
This paper proposes another new type of systemic risk measure, called the joint marginal expected shortfall (JMES), to measure whether the MES of one entity’s risk-taking adds to another one or the overall risk conditioned on the event that the entity is already in some specified distress level.
Recommended citation: Pu, T., Zhang, Y., & Zhang, Y. (2024). "On Joint Marginal Expected Shortfall and Associated Contribution Risk Measures." Quantitative Finance, 24(7), 889-908.
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