(Simple) ΔCoVaR bounds

Mathieu Mercadier and Frank Strobel

Applied Economics Letters, 2023, vol. 30, issue 14, 1874-1881

Abstract: We develop simple versions of upper bounds of the widely used systemic risk measure of ΔCoVaR that are straightforward to calculate, and may prove useful as (conservative) benchmarks in an applied context.

Date: 2023
References: Add references at CitEc
Citations:

Downloads: (external link)
http://hdl.handle.net/10.1080/13504851.2022.2083557 (text/html)
Access to full text is restricted to subscribers.

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:taf:apeclt:v:30:y:2023:i:14:p:1874-1881

Ordering information: This journal article can be ordered from
http://www.tandfonline.com/pricing/journal/RAEL20

DOI: 10.1080/13504851.2022.2083557

Access Statistics for this article

Applied Economics Letters is currently edited by Anita Phillips

More articles in Applied Economics Letters from Taylor & Francis Journals
Bibliographic data for series maintained by Chris Longhurst ().