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 |
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Journal | Applied Economics Letters |
Early online date | 8 Jun 2022 |
DOIs | |
Publication status | E-pub ahead of print - 8 Jun 2022 |
Keywords
- ΔCoVaR
- systemic risk
- risk measure
- probability bounds