Document Search
Add To My Bookshelf Sign in or Register Save And Annotate

systemic risk sign in to follow this
contribution sign in to follow this
CoVaR sign in to follow this
copula sign in to follow this

VaR Methods sign in to follow this
--Systemic Risk sign in to follow this
Discuss This Paper
Sign in to follow this page
Recent Comments
Measuring and Analysing Marginal Systemic Risk Contribution using CoVaR: A Copula Approach
Year Of Publication: 2012
Month Of Publication: November
Resource Link: Click here to open
Pages: 26
Download Count: 0
View Count: 1557
Comment Num: 0
Language: English
Source: working paper
Who Can Read: Free
Date: 12-28-2012
Publisher: Administrator
Our work expands on the CoVaR concept proposed by Adrian and Brunnermeier as a tool for the measurement of marginal systemic risk contribution. We first give a mathematical definition of CoVaR_{\alpha}^{s|L^i=l}. Our definition improves the CoVaR concept by expressing CoVaR_{\alpha}^{s|L^i=l} as a function of a state l and of a given probability level \alpha relative to i and s respectively. Based on Copula theory we connect CoVaR_{\alpha}^{s|L^i=l} to the partial derivatives of Copula through their probabilistic interpretation and definitions (Conditional Probability). Using this we provide a closed formula for the calculation of CoVaR_{\alpha}^{s|L^i=l} for a large class of (marginal) distributions and dependence structures (linear and non-linear). Our formula allows a better analysis of systemic risk using CoVaR in the sense that it allows to define CoVaR_{\alpha}^{s|L^i=l} depending on the marginal distributions of the losses of i and s respectively and the copula between L^i and L^s. We discuss the implications of this in the context of the quantification and analysis of systemic risk contributions. %some mathematical This make
Jaeger-Ambrozewicz, Manfred-Erich Sign in to follow this author
Rüdiger-Mastandrea, Barbara Sign in to follow this author
Hakwa, Brice Sign in to follow this author
This document's citation network:
Similar Documents:
Documents cited in this work:
Documents that cite this work:
Close window
Sign up in one step, no personal information required. Already a Member?

Repeat Email:
User Name:
Confirm Password:

Sign Up

Welcome to GloriaMundi!
Thanks for singning up

continue or edit your profile