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CoVaR

The American economic review, 2016-07, Vol.106 (7), p.1705-1741 [Peer Reviewed Journal]

Copyright© 2016 American Economic Association ;Copyright American Economic Association Jul 2016 ;ISSN: 0002-8282 ;EISSN: 1944-7981 ;DOI: 10.1257/aer.20120555 ;CODEN: AENRAA

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  • Title:
    CoVaR
  • Author: Adrian, Tobias ; Brunnermeier, Markus K.
  • Subjects: Central banks ; Commercial banks ; Estimates ; Hedge funds ; Volatility
  • Is Part Of: The American economic review, 2016-07, Vol.106 (7), p.1705-1741
  • Description: We propose a measure of systemic risk, ΔCoVaR, defined as the change in the value at risk of the financial system conditional on an institution being under distress relative to its median state. Our estimates show that characteristics such as leverage, size, maturity mismatch, and asset price booms significantly predict ΔCoVaR. We also provide out-of-sample forecasts of a countercyclical, forwardlooking measure of systemic risk, and show that the 2006:IV value of this measure would have predicted more than one-third of realized ΔCoVaR during the 2007-2009 financial crisis.
  • Publisher: Nashville: American Economic Association
  • Language: English
  • Identifier: ISSN: 0002-8282
    EISSN: 1944-7981
    DOI: 10.1257/aer.20120555
    CODEN: AENRAA
  • Source: ProQuest Central
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