Built-in Measures and Algorithms¶

Banking¶

• Absoprtion ratio
• Z-score
• Contingent claim analysis
• Distress insurance premium
• Marginal expected shortfall
• Systemic expected shortfall

Estimation¶

• Bunching

Insolvency Risk¶

• Z-score

Liquidity¶

• Kyle's lambda

Market Competition¶

• HHI index

Systemic Risk¶

• Absoprtion ratio
• Contingent claim analysis
• Distress insurance premium
• Marginal expected shortfall
• Systemic expected shortfall