Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/60863
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dc.contributor.authorAdrian, Tobiasen_US
dc.contributor.authorBrunnermeier, Markus K.en_US
dc.date.accessioned2010-04-28en_US
dc.date.accessioned2012-08-17T14:35:47Z-
dc.date.available2012-08-17T14:35:47Z-
dc.date.issued2008en_US
dc.identifier.urihttp://hdl.handle.net/10419/60863-
dc.description.abstractWe 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.isoengen_US
dc.publisher|aFederal Reserve Bank of New York |cNew York, NYen_US
dc.relation.ispartofseries|aStaff Report, Federal Reserve Bank of New York |x348en_US
dc.subject.jelG10en_US
dc.subject.jelG18en_US
dc.subject.jelG20en_US
dc.subject.ddc330en_US
dc.subject.keywordValue at risken_US
dc.subject.keywordsystemic risken_US
dc.subject.keywordadverse feedback loopen_US
dc.subject.keywordendogenous risken_US
dc.subject.keywordrisk spilloversen_US
dc.subject.keywordfinancial architectureen_US
dc.subject.stwFinanzmarkten_US
dc.subject.stwRisikoen_US
dc.subject.stwMessungen_US
dc.subject.stwRisikomaßen_US
dc.subject.stwTheorieen_US
dc.titleCoVaRen_US
dc.typeWorking Paperen_US
dc.identifier.ppn587564059en_US
dc.rightshttp://www.econstor.eu/dspace/Nutzungsbedingungenen_US

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