SU-ΔCoVaR

Pilsun Choi, Insik Min and Keehwan Park

Economics Letters, 2012, vol. 115, issue 2, 218-220

Abstract: We have developed a measure for systemic risk under the bivariate SU-normal distribution, and estimated systemic risk conditional upon the VaR of financial institutions. Simulation results show that both the normal and the quantile regression estimates are downward biased relative to the SU-normal estimate for systemic risk.

Keywords: CoVaR; VaR; Systemic risk; SU-normal distribution (search for similar items in EconPapers)
JEL-codes: G2 (search for similar items in EconPapers)
Date: 2012
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Persistent link: https://EconPapers.repec.org/RePEc:eee:ecolet:v:115:y:2012:i:2:p:218-220

DOI: 10.1016/j.econlet.2011.12.002

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