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The downside risk of a portfolio of (equity)assets is generally substantiallyhigher than the downside risk of its components. In particular in times ofcrises when assets tend to have high correlation, the understanding of thisdifference can be crucial in managing systemic risk of a portfolio. In thispaper we generalize Merton's option formula in the presence jumps to themulti-asset case. It is shown how common jumps across assets provide anintuitive and powerful tool to describe systemic risk that is consistent withdata. The methodology provides a new way to mark and risk-manage systemic riskof portfolios in a systematic way.

Marking Systemic Portfolio Risk with Application to the Correlation Skew of Equity Baskets