Conditional Quantile-Located VaR

Giovanni Bonaccolto (), Massimiliano Caporin () and Sandra Paterlini ()
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Giovanni Bonaccolto: University of Enna “Kore”, viale delle Olimpiadi
Massimiliano Caporin: University of Padova, Department of Statistical Sciences
Sandra Paterlini: EBS Business School, FACT Department–Finance

A chapter in Mathematical and Statistical Methods for Actuarial Sciences and Finance, 2018, pp 167-171 from Springer

Abstract: Abstract The Conditional Value-at-Risk (CoVaR) has been proposed by Adrian and Brunnermeier (Am Econ Rev 106:1705–1741, 2016) to measure the impact of a company in distress on the Value-at-Risk (VaR) of the financial system. We propose an extension of the CoVaR, that is, the Conditional Quantile-Located VaR (QL-CoVaR), that better deals with tail events, when spillover effects impact the stability of the entire system. In fact, the QL-CoVaR is estimated by assuming that the financial system and the individual companies simultaneously lie in the left tails of their distributions.

Keywords: CoVaR; Systemic risk; Regression quantiles (search for similar items in EconPapers)
Date: 2018
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Persistent link: https://EconPapers.repec.org/RePEc:spr:sprchp:978-3-319-89824-7_31

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DOI: 10.1007/978-3-319-89824-7_31

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