(Simple) ΔCoVaR bounds

Mathieu Mercadier, Frank Strobel

Research output: Contribution to journalArticlepeer-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 languageEnglish
JournalApplied Economics Letters
Early online date8 Jun 2022
DOIs
Publication statusE-pub ahead of print - 8 Jun 2022

Keywords

  • ΔCoVaR
  • systemic risk
  • risk measure
  • probability bounds

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