Brunnermeier, Dong, Palia 2011 Systemic Risk: SES Estimation Acharya, Pedersen, Philippon and Richardson (2010) propose the Systemic Expected Shortfall (SES) measure to capture a bank's contribution to a systemic crisis due to its expected default loss SES is the expected amount that a bank is undercapitalized in a future systemic event in which the overall financial system is undercapitalized Systemic crisis event is when aggregate banking capital at time t is less than the target capital 19
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