We investigate a systemic risk measure known as CoVaR that represents the value-at-risk (VaR) of a financial system … conditional on an institution being under distress. For characterizing and estimating CoVaR, we use the copula approach and … CoVaR by a joint distribution correction. We test the proposed NTS model on the daily S&P 500 index and Dow Jones index with …

importance of financial institutions of Pakistan using ∆CoVaR and MES. Moreover, the study employs System GMM to analyze the bank …, sector and country level determinants of systemic risk measures. The findings of the study signify that MES and ∆CoVaR … insignificant when MES is used as measure of systemic risk but the same turns significant for ∆CoVaR. The impact of deposit ratio …

We propose a novel approach to calibrate the conditional value-at-risk (CoVaR) of financial institutions based on …

coherent and multivariate tail risk indicator conditional expectile-based VaR (CoEVaR) can be derived, which is sensitive to …