Conditional Value at Risk (CoVaR) is a measure of influence of a risk factor X on some financial position Y. It was introduced by T.Adrian and M.Brunnermeier in 2008 to quantify how the poor performance of one institution is aff ecting the other one. As well, it can be applied to compare markets, asset prices and other fi nancial data. The idea is to measure Value at Risk of Y conditioned on X, where random variables X and Y are modelling some financial positions. In my talk I will discuss the possibility of detecting the sources of systemic risk with the help of CoVaR.
References
[1] Adrian, T., Brunnermeier, M.K.: CoVaR, The American Economic Review 2016 (to appear).
[2] Girardi G., Ergün T.A.: Systemic risk measurement: Multivariate GARCH estimation of CoVar, Journal of Banking & Finance 37, (2013) 3169-3180.
[3] Bernardi M., Durante F., Jaworski P.: CoVaR of families of copulas (to appear).
Contact Piotr Jaworski