(Simple) ΔCoVaR bounds

Mathieu Mercadier; Frank Strobel

doi:10.1080/13504851.2022.2083557

(Simple) ΔCoVaR bounds

Mathieu Mercadier, Frank Strobel

Economics

Research output: Contribution to journal › Article › peer-review

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
Journal	Applied Economics Letters
Early online date	8 Jun 2022
DOIs	https://doi.org/10.1080/13504851.2022.2083557
Publication status	E-pub ahead of print - 8 Jun 2022

Keywords

ΔCoVaR
systemic risk
risk measure
probability bounds

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10.1080/13504851.2022.2083557

MercadierM2022CoVaR
This is an Accepted Manuscript version of the following article, accepted for publication in Applied Economics Letters. Mathieu Mercadier & Frank Strobel (2022) (Simple) ΔCoVaR bounds, Applied Economics Letters, DOI: 10.1080/13504851.2022.2083557 It is deposited under the terms of the Creative Commons Attribution-NonCommercial-NoDerivatives License (http://creativecommons.org/licenses/by-nc-nd/4.0/), which permits non-commercial re-use, distribution, and reproduction in any medium, provided the original work is properly cited, and is not altered, transformed, or built upon in any way.”
Accepted author manuscript, 543 KBLicence: Creative Commons: Attribution-NonCommercial-NoDerivs (CC BY-NC-ND)

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(Simple) ΔCoVaR bounds

Abstract

Keywords

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