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NetMES: a network based marginal expected shortfall measure

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  • Shatha Qamhieh Hashem
  • Paolo Giudici

Abstract

This paper aims to build novel measures of systemic risk that take the multivariate;nature of the problem into account by means of network models. To account for model;uncertainty, we also employ a Bayesian approach, which allows model averaging;over different network classes. The resulting systemic risk measure, which we call;NetMES, is applied to the evaluation of the financial stability of the banking system in;the Gulf Cooperation Council countries. Banks are classified as fully-fledged Islamic ;banks, conventional banks or hybrids: conventional banks with an Islamic window.;The empirical findings indicate the presence of a difference between the two banking;systems in terms of systemic risk, which can be explained by different levels of;capitalization and leverage.

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Handle: RePEc:rsk:journ8:2472278
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