{"status":"ok","message-type":"work","message-version":"1.0.0","message":{"indexed":{"date-parts":[[2026,9,27]],"date-time":"2026-09-27T04:54:32Z","timestamp":1790484872888,"version":"4.1.0"},"reference-count":22,"publisher":"Oxford University Press (OUP)","issue":"2","license":[{"start":{"date-parts":[[2014,5,15]],"date-time":"2014-05-15T00:00:00Z","timestamp":1400112000000},"content-version":"vor","delay-in-days":0,"URL":"https:\/\/academic.oup.com\/journals\/pages\/open_access\/funder_policies\/chorus\/standard_publication_model"}],"funder":[{"DOI":"10.13039\/501100001871","name":"Funda\u00e7\u00e3o para a Ci\u00eancia e a Tecnologia","doi-asserted-by":"publisher","id":[{"id":"10.13039\/501100001871","id-type":"DOI","asserted-by":"publisher"}]}],"content-domain":{"domain":[],"crossmark-restriction":false},"short-container-title":[],"published-print":{"date-parts":[[2015,3,1]]},"abstract":"<jats:title>Summary<\/jats:title>\n                  <jats:p>Denote the loss return on the equity of a financial institution as X and that of the entire market as Y. For a given very small value of p &amp;gt; 0, the marginal expected shortfall (MES) is defined as E{X|Y&amp;gt;QY(1\u2212p)}, where Q \u00a0Y(1 \u2212 p) is the (1 \u2212 p)th quantile of the distribution of Y. The MES is an important factor when measuring the systemic risk of financial institutions. For a wide non-parametric class of bivariate distributions, we construct an estimator of the MES and establish the asymptotic normality of the estimator when p \u2193 0, as the sample size n \u2192 \u221e. Since we are in particular interested in the case p = O(1\/n), we use extreme value techniques for deriving the estimator and its asymptotic behaviour. The finite sample performance of the estimator and the relevance of the limit theorem are shown in a detailed simulation study. We also apply our method to estimate the MES of three large US investment banks.<\/jats:p>","DOI":"10.1111\/rssb.12069","type":"journal-article","created":{"date-parts":[[2014,5,15]],"date-time":"2014-05-15T16:35:09Z","timestamp":1400171709000},"page":"417-442","source":"Crossref","is-referenced-by-count":99,"title":["Estimation of the Marginal Expected Shortfall: the Mean When a Related Variable is Extreme"],"prefix":"10.1093","volume":"77","author":[{"given":"Juan-Juan","family":"Cai","sequence":"first","affiliation":[{"name":"Delft University of Technology \u00a0 The Netherlands"}],"role":[{"vocabulary":"crossref","role":"author"}]},{"given":"John H. J.","family":"Einmahl","sequence":"additional","affiliation":[{"name":"Tilburg University \u00a0 The Netherlands"}],"role":[{"vocabulary":"crossref","role":"author"}]},{"given":"Laurens","family":"Haan","sequence":"additional","affiliation":[{"name":"Erasmus University Rotterdam, The Netherlands, and University of Lisbon \u00a0 Portugal"}],"role":[{"vocabulary":"crossref","role":"author"}]},{"given":"Chen","family":"Zhou","sequence":"additional","affiliation":[{"name":"De Nederlandsche Bank, Amsterdam, Erasmus University Rotterdam and Tinbergen Institute, Amsterdam \u00a0 The Netherlands"}],"role":[{"vocabulary":"crossref","role":"author"}]}],"member":"286","published-online":{"date-parts":[[2014,5,15]]},"reference":[{"key":"2023021709290808500_rssb12069-cit-0001","volume-title":"Measuring systemic risk","author":"Acharya","year":"2012"},{"key":"2023021709290808500_rssb12069-cit-0002","doi-asserted-by":"crossref","DOI":"10.1214\/lnms\/1215467924","volume-title":"An Introduction to Continuity, Extrema, and Related Topics for General Gaussian Processes","author":"Adler","year":"1990"},{"key":"2023021709290808500_rssb12069-cit-0003","doi-asserted-by":"crossref","first-page":"598","DOI":"10.1214\/aop\/1176992533","article-title":"Sample moduli for set-indexed Gaussian processes","volume":"14","author":"Alexander","year":"1986","journal-title":"Ann. 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