Before revision:  We show that the three widely-used systemic risk measures  conditional value-at-risk (CoVaR), conditional expected shortfall (CoES) and marginal expected shortfall (MES), which measure the risk of a position Y given that a reference position X is in distress, fail to be identifiable and elicitable on their own.
After revision:  We show that the three widely-used systemic risk measures conditional value-at-risk (CoVaR), conditional expected shortfall (CoES) and marginal expected shortfall ), measuring the risk of a position Y given that a reference position X is in distress, fail to be identifiable and elicitable on their own.