Di Bernardino, E.; Fernández-Ponce, J.M.; … - In: Insurance: Mathematics and Economics 61 (2015) C, pp. 1-16
CoVaR is a systemic risk measure proposed by Adrian and Brunnermeier (2011) able to measure a financial institution’s contribution to systemic risk and its contribution to the risk of other financial institutions. CoVaR stands for conditional Value-at-Risk, i.e. it indicates the Value at Risk...