{"slug":"mes","name":"Marginal Expected Shortfall","family":"Systemic risk","status":"active","estimate":"An institution's average return on days when the system return is in its own 5% left tail.","page":"/systemic","implementation":{"enginePaths":["engine/finweave_engine/layers/systemic/mes.py"],"producerPath":"scripts/build_systemic.py","outputs":["data/parquet/systemic_series.parquet"]},"methodology":[{"path":"engine/finweave_engine/layers/systemic/mes.py","lines":[11,45],"note":"Selects system-tail days and returns the mean institution return over those observations."},{"path":"docs/systemic_methodology.md","lines":[135,146],"note":"Defines MES, its sign interpretation, rolling window, quantile, method label, and span."},{"path":"docs/systemic_methodology.md","lines":[269,338],"note":"Records crisis anchors and independent recomputation validation for the systemic output."}],"data":{"vintage":"38,561 observations for 28 entities from 2021-01-04 through 2026-07-06, measured 2026-08-30","tables":["data/parquet/systemic_series.parquet"],"sources":[{"label":"Yahoo Finance equity returns via the argus collector, internal-use input","url":"https://finance.yahoo.com/"}]},"method":["Within each trailing 252-trading-day window, the engine finds days when the system proxy return is at or below its 5% quantile and averages the institution's aligned returns on those days.","A more negative MES means the institution lost more on the system's tail days. The stored method label is rolling_tail_mean."],"equations":[{"label":"MES","expr":"MES = mean of bank returns on days when system return falls below its q-th percentile"}],"validation":["The parquet contains 38,561 MES observations for 28 entities from 2021-01-04 through 2026-07-06.","The documented independent recomputation of JPM MES on 2026-07-06 matches the stored value with zero difference, and the SVB-week cross-section localizes the episode toward affected regional banks."],"limitations":["MES is a conditional historical return average, not a probability of distress or failure.","Results depend on the KBE system proxy, the 5% tail threshold, the covered listed-bank universe, and the trailing 252-day window.","The underlying Yahoo-derived equity-return input carries an internal-use, display-aggregates-only licence posture and is not a redistributable raw dataset."],"references":[{"citation":"Acharya, Pedersen, Philippon, and Richardson (2017), Measuring Systemic Risk, Review of Financial Studies 30(1): 2-47.","url":"https://doi.org/10.1093/rfs/hhw088"}],"endpoints":[{"path":"/api/methods/[slug]","example":"/api/methods/mes","method":"GET","returns":"Registry metadata, implementation paths, measured vintage, methodology evidence, validation, and limitations. No model observations or parquet contents."}],"lastVerified":"2026-08-30"}