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• W1567502187 abstract "This paper is devoted to the quantification and analysis of marginal risk contribution of a given single financial institution i to the risk of a financial system s. Our work expands on the CoVaR concept proposed by Adrian and Brunnermeier as a tool for the measurement of marginal systemic risk contribution. We first give a mathematical definition of CoVaR_{alpha}^{s|L^i=l}. Our definition improves the CoVaR concept by expressing CoVaR_{alpha}^{s|L^i=l} as a function of a state l and of a given probability level alpha relative to i and s respectively. Based on Copula theory we connect CoVaR_{alpha}^{s|L^i=l} to the partial derivatives of Copula through their probabilistic interpretation and definitions (Conditional Probability). Using this we provide a closed formula for the calculation of CoVaR_{alpha}^{s|L^i=l} for a large class of (marginal) distributions and dependence structures (linear and non-linear). Our formula allows a better analysis of systemic risk using CoVaR in the sense that it allows to define CoVaR_{alpha}^{s|L^i=l} depending on the marginal distributions of the losses of i and s respectively and the copula between L^i and L^s. We discuss the implications of this in the context of the quantification and analysis of systemic risk contributions. %some mathematical This makes possible the For example we will analyse the marginal effects of L^i, L^s and C of the risk contribution of i." @default.
• W1567502187 created "2016-06-24" @default.
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• W1567502187 date "2012-10-17" @default.
• W1567502187 modified "2023-09-27" @default.
• W1567502187 title "Measuring and Analysing Marginal Systemic Risk Contribution using CoVaR: A Copula Approach" @default.
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• W1567502187 hasPublicationYear "2012" @default.
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