CoVaR

• 成果类型: Article
• 署名作者: Adrian, Tobias; Brunnermeier, Markus K.
• 署名单位: Federal Reserve System - USA; Federal Reserve Bank - New York; Princeton University; National Bureau of Economic Research; Center for Economic & Policy Research (CEPR); Leibniz Association; Ifo Institut
• 刊物名称: AMERICAN ECONOMIC REVIEW
• ISSN/ISSBN: 0002-8282
• DOI: 10.1257/aer.20120555
• 发表日期: 2016
• 页码: 1705-1741
• 关键词: systemic risk; liquidity; CRISIS

摘要

We propose a measure of systemic risk, Delta 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 Delta 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 Delta CoVaR during the 2007-2009 financial crisis.