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David, Marquesibanez ; Michiel, van Leuvensteijn ; Michiel, Van Leuvensteijn ; Tianshu, Zhao ; Yener, Altunbas ; David, Marques-Ibanez ; Yener, Altunbas. (2019) Competition and Bank Risk the Role of Securitization and Bank Capital.
In: IMF Working Papers. RePEc:imf:imfwpa:2019/140.
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Appendix A: Marginal expected shortfall (MES) The measure of marginal expected shortfall (MES) used in this paper is based on the expected capital shortfall framework, as in Acharya et al. (2012). MES estimates the average bank returns on days when the banking market as a whole is in the tail of the loss distribution of its returns: ð‘€ð¸ð‘†ð‘¡ð‘– = 1/𑇠∑ (ð‘…ð‘–,ð‘˜,ð‘¡ |ð‘…ð‘š,ð‘˜,ð‘¡ < Γ) ð‘‡
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