|
EconStor >
Federal Reserve Bank of New York >
Staff Reports, Federal Reserve Bank of New York >
Please use this identifier to cite or link to this item:
http://hdl.handle.net/10419/60863
|
| | |
Full metadata record
| DC Field | | Value | | Language |
| dc.contributor.author | | Adrian, Tobias | | en_US |
| dc.contributor.author | | Brunnermeier, Markus K. | | en_US |
| dc.date.accessioned | | 2010-04-28 | | en_US |
| dc.date.accessioned | | 2012-08-17T14:35:47Z | | - |
| dc.date.available | | 2012-08-17T14:35:47Z | | - |
| dc.date.issued | | 2008 | | en_US |
| dc.identifier.uri | | http://hdl.handle.net/10419/60863 | | - |
| dc.description.abstract | | We propose a measure for systemic risk: CoVaR, the value at risk (VaR) of financial institutions conditional on other institutions being in distress. We define an institution's (marginal) contribution to systemic risk as the difference between CoVaR and the financial system's VaR. From our estimates of CoVaR for characteristic-sorted portfolios of publicly traded financial institutions, we quantify the extent to which characteristics such as leverage, size, and maturity mismatch predict systemic risk contribution. We argue for macro-prudential regulation based on the degree to which such characteristics forecast systemic risk contribution. | | en_US |
| dc.language.iso | | eng | | en_US |
| dc.publisher | | Federal Reserve Bank of New York New York, NY | | en_US |
| dc.relation.ispartofseries | | Staff Report, Federal Reserve Bank of New York 348 | | en_US |
| dc.subject.jel | | G10 | | en_US |
| dc.subject.jel | | G18 | | en_US |
| dc.subject.jel | | G20 | | en_US |
| dc.subject.ddc | | 330 | | en_US |
| dc.subject.keyword | | Value at risk | | en_US |
| dc.subject.keyword | | systemic risk | | en_US |
| dc.subject.keyword | | adverse feedback loop | | en_US |
| dc.subject.keyword | | endogenous risk | | en_US |
| dc.subject.keyword | | risk spillovers | | en_US |
| dc.subject.keyword | | financial architecture | | en_US |
| dc.subject.stw | | Finanzmarkt | | en_US |
| dc.subject.stw | | Risiko | | en_US |
| dc.subject.stw | | Messung | | en_US |
| dc.subject.stw | | Risikomaß | | en_US |
| dc.subject.stw | | Theorie | | en_US |
| dc.title | | CoVaR | | en_US |
| dc.type | | Working Paper | | en_US |
| dc.identifier.ppn | | 587564059 | | en_US |
| dc.rights | | http://www.econstor.eu/dspace/Nutzungsbedingungen | | en_US |
| Appears in Collections: | | Staff Reports, Federal Reserve Bank of New York
|
| Files in This Item:
| |
|
| No. of Downloads:
| |
| last Month |
last 3 Month |
total |
|
|
|
|
|
Items in EconStor are protected by copyright, with all rights reserved, unless otherwise indicated.
|