UAlberta-PIMS Mathematics and Statistics Colloquium: Edward Furman

Marginal Expected Shortfall (MES) has become a central measure for assessing systemic risk. In this talk, I trace MES back to its theoretical roots in weighted risk-capital allocation rules and show that, perhaps counterintuitively, MES can be evaluated efficiently for many loss distributions of practical relevance. I then present new results lisa@pims.math.ca that bound MES under dependence uncertainty and use these bounds to define a Systemic-Contribution Index, positioning each firm between its best- and worst-case systemic roles. I conclude by challenging the conventional view -- is proportional MES truly a measure of a firm’s contribution to systemic risk?