“CoVaR” (2016), by Tobias Adrian et al. Economics research paper. Original abstract below, unchanged. No free PDF was found.

CoVaR

Tobias Adrian, Markus Konrad Brunnermeier · June 30, 2016 · Economics

Abstract

We propose a measure of systemic risk, Δ CoVaR, 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 Δ CoVaR. We also provide out-of-sample forecasts of a countercyclical, forward-looking measure of systemic risk, and show that the 2006:IV value of this measure would have predicted more than one-third of realized Δ CoVaR during the 2007–2009 financial crisis. (JEL C58, E32, G01, G12, G17, G20, G32)

Source page DOI: 10.1257/aer.20120555