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英文文献：Testing for systemic risk using stock returns-使用股票回报测试系统风险
英文文献作者：Paul H. Kupiec
英文文献摘要：
Conditional value at risk (CoVaR) and marginal expected shortfall (MES) have been proposed as stock return based measures of the systemic risk created by individual financial institutions even though the literature provides no formal hypothesis test for detecting systemic risk. We address this shortcoming by constructing hypothesis test statistics for CoVaR and MES that can be used to detect systemic risk at the institution level. We apply our tests to daily stock returns data for over 3500 firms during 2006-2007. CoVaR (MES) tests identify almost 500 (1000) firms as systemically important. Both tests identify many more real-side firms than financial firms, and they often disagree about which firms are systemic. Analysis of the hypothesis tests' performance for plausible alternative hypotheses finds that return skewness can cause test rejections and, even when systemic risk imparts a strong signal in stock return distributions, hypothesis tests based on CoVaR and MES may fail to detect it. Our overall conclusion is that CoVaR and MES are not reliable measures of systemic risk.
尽管文献没有提供检测系统风险的正式假设检验，但条件风险值(CoVaR)和边际预期亏损(MES)被提出作为基于股票回报的衡量单个金融机构所产生的系统风险的方法。我们通过构建CoVaR和MES的假设检验统计数据来解决这一缺陷，可以用于在制度层面检测系统风险。我们对2006-2007年间超过3500家公司的每日股票收益数据进行了测试。CoVaR (MES)测试确定了近500(1000)家公司具有系统重要性。这两项测试都识别出了比金融公司更多的实体企业，而且对于哪些企业是系统性企业往往存在分歧。对貌似可信的替代假设的假设检验结果进行分析发现，收益率偏态可能导致测试拒绝，即使当系统风险在股票收益率分布中传递一个强信号时，基于CoVaR和MES的假设检验也可能无法检测到它。我们的总体结论是，CoVaR和MES并不是衡量系统风险的可靠指标。
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