(Simple) ΔCoVaR bounds

Mathieu Mercadier*, Frank Strobel

*Corresponding author for this work

Research output: Contribution to journalArticlepeer-review

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Abstract

We develop simple versions of upper bounds of the widely used systemic risk measure of ΔCoVaR that are straightforward to calculate, and may prove useful as (conservative) benchmarks in an applied context.
Original languageEnglish
Pages (from-to)1874-1881
Number of pages8
JournalApplied Economics Letters
Volume30
Issue number14
Early online date8 Jun 2022
DOIs
Publication statusPublished - 2023

Bibliographical note

Publisher Copyright:
© 2022 Informa UK Limited, trading as Taylor & Francis Group.

Keywords

  • probability bounds
  • risk measure
  • systemic risk
  • ΔCoVaR
  • CoVaR

ASJC Scopus subject areas

  • Economics and Econometrics

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