Adrian, Tobias; Brunnermeier, Markus K. - Federal Reserve Bank of New York - 2008
institutions should report CoVaR in addition to VaR, and we draw implications for risk management, regulation, and systemic risk …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 …