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 language | English |
---|---|
Pages (from-to) | 1874-1881 |
Number of pages | 8 |
Journal | Applied Economics Letters |
Volume | 30 |
Issue number | 14 |
Early online date | 8 Jun 2022 |
DOIs | |
Publication status | Published - 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