We introduce the framework of modelling systematic risk and propose a DCC-filtered historical simulation approach to modeling systemic risk. We explain method in terms of CoVaR and CoES (Adrian and Brunnermeie 2016), and show its applicability to Marginal Expected Shortfall (MES) and SRISK. An empirical application to U.S. financial markets data highlights the merits of the method.
Prof Zaichao Du
Professor Du is a Full professor in Southwestern University of Finance and Economics. He obtained his PhD from Indiana University, U.S.A. His research area is Financial Econometrics. He has published papers on Management Science, Journal of Econometrics, etc.
He is the scholar of Youth Talents in the Cheung Kong Scholar programme of China (青年长江).