Aggarwal, Natasha; Arora, Sanchit; Behl, Akhil; Grover, Rohini; Khanna, Shashwat; Thomas, Susan
(2013-10)
This paper uses the average of the percentile ranking of three measures of systemic risk { Granger Causality, Marginal Expected Shortfall,and Conditional Value at Risk { to calculate a single systemic risk index (SRI) for ...