id	author	title	date	pages	extension	mime	words	sentences	flesch	summary	cache	txt
work_7pg23p3x4nd3zknse5pgx4fa7y	Diane Pierret	The Systemic Risk of Energy Markets	2013	24	.pdf	application/pdf	2153	395	75	The conditional MES of an energy asset (Acharya et al. Integration dimensions: underlying energy (oil, coal, natural gas, electricity, Methodology: the conditional MES as a function of mean, volatility and tail MESit (C ) = Et−1 (µit + σit uit |rEnMt > C , rMt < 0) EEX futures, energy spot and DAX industrial indices The non-energy market return: rMt � yMt = y1t = a�1t ut The energy market return: rEnMt � yEnMt = y2t = a�2t ut The tail expectation Et−1 (uit |energy crisis) is approximated by The conditional MES of energy assets Tail exposure to common factors: the MES is conditional on extreme energy The Energy Systemic Risk Measure: EnSysRISK The Energy Systemic Risk Measure: EnSysRISK The Energy Systemic Risk Measure: EnSysRISK The Energy Systemic Risk Measure: EnSysRISK The Energy Systemic Risk Measure: EnSysRISK The Energy Systemic Risk Measure: EnSysRISK The Energy Systemic Risk Measure: EnSysRISK	./cache/work_7pg23p3x4nd3zknse5pgx4fa7y.pdf	./txt/work_7pg23p3x4nd3zknse5pgx4fa7y.txt