Adrian, Tobias; Brunnermeier, Markus K. - Federal Reserve Bank of New York - 2008
We define CoVaR as the value at risk (VaR) of financial institutions conditional on other institutions being in … distress. The increase of CoVaR relative to VaR measures spillover risk among institutions. We estimate CoVaR using quantile … regressions and document significant CoVaR increases among financial institutions. We identify six risk factors that allow …