Castro, Carlos; Ferrari, Stijn - In: Journal of Empirical Finance 25 (2014) C, pp. 1-14
This paper analyzes ΔCoVaR proposed by Adrian and Brunnermeier (2011) as a tool for identifying/ranking systemically important institutions. We develop a test of significance of ΔCoVaR that allows determining whether or not a financial institution can be classified as being systemically...