Developments in Systemic Risk since the Global Financial Crisis: Assessment of Eurozone and US Systemically Important Banks based on Marginal Expected Shortfall
Present essay investigates if the systemic riskiness of Eurozone and US systemically important banks decreased subsequently to the Global Financial Crisis of 2007/2008. For each of these institutions, time series of the analytical systemic risk measure MES are estimated based on public information. This is done using a bivariate time series model and involves estimation of time varying conditional