Please use this identifier to cite or link to this item: https://hdl.handle.net/10419/60863 
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dc.contributor.authorAdrian, Tobiasen
dc.contributor.authorBrunnermeier, Markus K.en
dc.date.accessioned2010-04-28-
dc.date.accessioned2012-08-17T14:35:47Z-
dc.date.available2012-08-17T14:35:47Z-
dc.date.issued2008-
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
dc.language.isoengen
dc.publisher|aFederal Reserve Bank of New York |cNew York, NYen
dc.relation.ispartofseries|aStaff Report |x348en
dc.subject.jelG10en
dc.subject.jelG18en
dc.subject.jelG20en
dc.subject.ddc330en
dc.subject.keywordValue at risken
dc.subject.keywordsystemic risken
dc.subject.keywordadverse feedback loopen
dc.subject.keywordendogenous risken
dc.subject.keywordrisk spilloversen
dc.subject.keywordfinancial architectureen
dc.subject.stwFinanzmarkten
dc.subject.stwRisikoen
dc.subject.stwMessungen
dc.subject.stwRisikomaßen
dc.subject.stwTheorieen
dc.titleCoVaR-
dc.typeWorking Paperen
dc.identifier.ppn587564059en
dc.rightshttp://www.econstor.eu/dspace/Nutzungsbedingungenen

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