Brunnermeier, Markus K.; Adrian, Tobias - National Bureau of Economic Research (NBER) - 2011
We propose a measure for systemic risk: CoVaR, the value at risk (VaR) of the financial system conditional on … institutions being under distress. We define an institution's contribution to systemic risk as the difference between CoVaR … leverage, size, and maturity mismatch predict systemic risk contribution. We also provide out of sample forecasts of a …